Daily Chartbook #263

Welcome back to Daily Chartbook: the day’s best charts & insights, curated.

1. Homeowner vacancy. "The US now has the lowest vacancy rates in almost 70 years."

2. Mortgage rates vs. Treasuries. "The 30-year mortgage has opened up a gap of 3.14 percentage points over the 10-year Treasury. It just keeps going up and up. Higher now than even the widest part of the Global Financial Crisis. Ruthless."

3. US trucking. "Trucking capacity is finally reacting to higher freight volumes. Tender rejections are at the highest levels all year at 3.96%. This suggests that the bottom is in the freight market and things may firm from here."

4. Healthy consumer. "The US consumer is in vastly better shape than in decades."

5. Back-to-school. Back-to-school spending "is expected to increase from $37bn in 2022 to $41bn this year, +10.8%, according to Visa."

6. Lagged effect. "In the two decades through 1990 it typically took about six quarters for a change in rates to fully feed through to real GDP growth, but the lag appears to have increased after 1990."

7. USD strength. "US Dollar Advance - Decline line at its highest level since November 2005."

8. CTAs vs. gold. CTAs have been reducing exposure to gold.

9. CTAs vs. oil. They have been increasing exposure to oil.

10. CTAs vs. bonds. “In bonds, CTAs remain solidly short across the curve in both Europe and the US but long Japanese bonds.”

11. Speculators vs. 2-year. "Large speculators/hedge funds haven't pulled back on their net short positions in 2y Treasury bonds ... still hovering near multidecade low."

12. Asset managers vs. 10-year. “Asset managers, as tracked in commitment of traders data, are currently long 10-year Treasury futures to the greatest extent since the GFC, meaning that they are positioned for bond prices to rise and yields to fall.”

13. TIPS. "Real interest rates hit 2% in the U.S. for the first time since 2009."

14. 10-year vs. stocks. "Stocks were up 100% of the time 6 months after 10y treasury yields broke out to new highs. The Interest rates moving higher is not showing a historical reason to start selling equities."

15. Sentiment indicator. "The GS US equity sentiment indicator remains positive."

16. Short-term sentiment. "The Short-term Equity Sentiment signal rapidly crashed over the last 2 weeks, indicating a potential short-term technical bounce in the market is near; however, the Long-term Equity Sentiment signal is still in the process of rolling over."

17. Investor equity exposure. “US investors have room to further increase their exposure to equities.”

18. ETF and mutual fund flows. "Equity ETF and mutual fund inflows have picked up in recent weeks."

19. Smart money vs. US equity futures. Asset managers and leveraged funds remain long US equity futures.

20. Equity positioning. Aggregate equity positioning (52nd percentile) has dropped for 4 straight weeks led by a sharp decline in discretionary investor positioning (41st) which is now below neutral. Systematic strategies (70th) remain overweight.

21. CTAs vs. equities. "CTA’s cut their aggregate equity positioning again [last] week."

22. Retail net purchases. "Retail investors have been less enthusiastic about individual stocks, but they boosted ETF purchases this summer."

23. HFs vs. US ETFs. "HFs actively shorted US ETFs at the fastest pace September ’22 amid the market downdraft...led in notional terms by shorts in HYCredit, Large-Cap Equity, IG Credit, and Real Estate ETFs."

24. HFs vs. EU equities. "Europe was by far the most net sold region on the prime book [last] week and saw the largest net selling 5 months, driven by both long-and-short sales (1.2 to 1)."

25. Sector fund flows. "Across sectors, Tech (2.0bn) continued to get strong inflows."

26. Sector positioning. Investors are most overweight Communications (84th percentile), Discretionary (83rd), Staples (78th), and Tech (73rd). They are most underweight Utilities (17th), Financials (33rd), and Materials (33rd).

27. US breadth. "After a brief attempt to recover in June, breadth has rolled over again and remains weak, even within the strongest performing indices."

28. Global breadth (I). "Last week saw the percentage of global markets at new 13-week lows rising to its highest level since March."

See:

29. Global breadth (II). "The % of mkts above their 50-day avg has dropped to the lowest level since March, while the % above their 200-day is at the lowest level of the year."

30. Earnings reaction. And finally, “now that earnings season is nearly over, we note that T+1-day price action post reporting was some of the weakest we have witnessed in the past decade.”

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