Daily Chartbook #147

Welcome back to Daily Chartbook: macro market charts, data, and insights pulled from various sources around the Internet by a solo retail investor.

1. US petroleum inventory monitor. "US commercial petroleum inventories rose 3.3 MMbbl last week".

2. Delinquency forecast. "US banks forecasting rising 2023 delinquencies is worse than Jan'07 level".

3. Search trends. "You’ll notice .. the last time it was this high was in May 2008, just a few months before the deepest recession in 80 years".

4. Financial conditions (I). "The Treasury market as well as the dollar have been the main contributors" to the latest tightening.

5. Financial conditions (II). "Both versions of the Chicago Fed's National Financial Conditions Index (NFCI) eased last week. The unadjusted version (top) is equivalent to where it was on February 25th, 2022, indicating that financial conditions are unchanged over the past 12 months".

6. Economic activity. "US economic activity picked up in January, according to Chicago Fed Nat'l Activity Index. The 1mo reading jumped to a 6mo high, indicating that recession risk is lower than recently estimated".

7. Q4 GDP. Estimates for Q4 GDP growth were revised down to 2.7% from 2.9%.

8. Core PCE prices. "4Q22 GDP Core PCE deflator revised higher from +3.9% to +4.3% … down from recent peak of +6% but still elevated relative to history (as a result, although real GDP was revised down, nominal GDP was revised up)".

9. Jobless claims. Initial jobless claims 192k vs. 200k expected; continuing claims 1654k vs 1700k expected; 4-week average ticked up.

10. US01Y. "The 1-Year Treasury Bill yield has moved up to 5.07%, its highest level in 16 years".

11. SPX yield vs. US10Y. "The gap between the S&P 500's earnings yield (or profit growth potential per share) and the 10-year yield is 1.6%, the lowest since 2007. When bond yields and earnings yields are this close, it's historically led to lower stock returns".

12. Put/call. "Yesterday's equity put/call ratio was .80, highest of the year".

13. Micro factors. "Stock returns have recently become incrementally less macro-driven".

14. Stock correlations. "Rolling 60-day correlation between [Goldman Sachs] basket of stocks deemed ‘most important’ by hedge funds (blue) and S&P 500 (orange) hovering at a strong +0.96 … in upper end of historical range".

15. Bond flows. "The third largest week of private BofA client purchases of bonds ever. On the other side we have some of the largest short interest against bonds ever".

16. Smart vs. dumb money. "Smart money/dumb money confidence spread is now at the lowest level since mid-2021 rally".

17. AII sentiment. "Bullish Sentiment dropped right back down to 21.6% this week, 12 points below the 5-year average that is at just 33.6%.  Bearish sentiment jumped to 38.6%".

18. NAAIM. "Active managers tried to get ahead of the market in recent weeks and are now experiencing a dose of buyer's remorse as volatility weighs on prices".

19. Hedge fund exposure (I). "Flows to TMT turn positive, but very early innings; net exposure to TMT light in relative terms".

20. Hedge fund exposure (II). "Traditional Defensives 'Net Exposure' at multi-year highs following uptick in buying in early 2023".

21. Hedge fund exposure (III). Exposure to US financials is in the "100%-tile rank since 2016".

22. CTA headwind. "LHS green line is SPX 30d return vs RHS blackline Global CTA positioning 30d net change....black line is about to 'catch down' with green line and present major near term headwind for the equity mkt".

23. Risk-on vs. risk-off. "The average outperformance of risk-on versus risk-off factors to begin this year was the second-largest since 1950, and the highest in more than three decades".

24. Bull market checklist. "Only 40% of the indicators on BofA’s checklist of landmarks that show a bull market has started are currently positive. Before previous market bottoms, 80% of the landmarks had typically been reached".

25. Earnings guidance (I). "S&P 500 EPS guidance momentum has deteriorated, which doesn't bode well for estimates in coming quarters...".

26. Earnings guidance (II). "...BUT, while large-cap guidance has worsened, small-cap guidance has actually gotten a touch better".

27. US PEG ratio. And finally, “aside from the economic turmoil during the March 2020 Covid Pandemic, the S&P 500 PEG Ratio has never been higher (since 1985)”.

Thanks for reading!