Daily Chartbook #288

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

1. Case-Shiller Home Prices (I). "US home prices rose for the 5th straight month in July…jumping 0.9% MoM and shifting into the green (+0.1%) on a year-over-year basis for the first time since February, hitting a new record high."

2. Case-Shiller Home Prices (II). “Half of the 20 cities tracked by Case Shiller saw home prices hit new highs.”

3. FHFA House Price Index. The index "rose 0.8% MoM (vs 0.4% est) to 409.5 (Jan '91 =100). That puts YoY at 4.6% up from 3.2% prior."

4. New home sales. Sales plunged by 8.7% MoM in August (vs. -2.2% est), the most in 11 months.

5. Financial conditions. "The nominal GS US Financial Conditions Index tightened by 18.3bp to 100.11 over the last week, mostly due to lower equity prices."

6. Q3 GDP. "We lowered our Q3 GDP forecast to +3.2% (qoq ar)."

7. Consumer confidence. Confidence (black) fell more than expected, present situation (blue) ticked up, and expectations (red) dropped.

8. Philadelphia Fed Services. The "non manufacturing index dropped 3.5 to -16.6 but the sub indices were mixed."

9. Dallas Fed Services. "Dallas Fed service activity index declined to -8.6 last month. Nearly every sub-index was lower mo/mo including employment, wages, and capex."

10. Restrictive real rates. "Our US Rates strategists believe the Fed is overweighting strong growth data over slowing inflation, much as markets have been...think markets are ripe for a 50-75bpcorrection in the Fed path."

11. Corporate spread forecast. "BCA Research forecasts higher US corporate bond spreads driven by a rise in defaults next year."

12. Oil vs. USD. "The correlation of oil prices and the dollar has spiked from its usual negative territory to turn extremely positive, to levels usually seen around supply disruptions."

13. UK equities vs. Gilt yields. "In the last 20+ years, UKX has never been as negatively correlated to Gilt yields as it is now, and therefore any pause in yields is likely to be beneficial for UKX as has been the case lately."

14. TLT price vs. AUM. "Investors continue to desperately pour money into Treasuries despite the massive underperformance."

15. UST positioning. "As asset managers have increased their long positions in US Treasuries, hedge funds have piled into the short side of the trade."

16. Sentiment indicators. Risk sentiment across indicators.

17. Client flows. "Last week, clients were net buyers of US equities ($2.1B) for an 8th straight week...led by Health Care (3rd wk. of inflows), Staples (biggest inflows since mid-Aug.), and Real Estate."

18. Industrial flows. Industrials have seen steady outflows recently.

19. Estimated CTA flows. Over the next month: $34bn to sell in flat tape, $18bn to buy in up tape, $61bn to sell in down tape.

20. Buyback blackout. "We currently estimate ~84% of the S&P 500 are in their blackout period with ~90% in blackout by the end of the week. We estimate blackout to end ~10/20/23."

21. Mega-cap crowding. The S&P 500’s market cap is extremely concentrated in the largest 10 stocks.

22. Nasdaq-100 option activity. "Positioning in the Nasdaq 100 is now one-sided net short at $8.1 billion, with all long positions unwound."

23. Speculative positioning vs. pullback. "The likelihood of real-money investors lowering their portfolio beta will increase if market adjustments drag on."

24. Oversold. "25% of the $SPX has an RSI under 30, a 97%ile level over the past decade."

25. Sector valuations. "Most S&P 500 sectors trade at a discount to their 5-year average valuations, and only Tech carries a noticeable premium."

26. NDX P/S. "On a forward p/s basis, the tech-heavy index trades at 3.8 times, well above its 10y average, indicating the frothiness is still there."

27. NDX vs. real rates. "History shows that equities face asymmetrically more downside than upside at current or higher level of real rates."

28. S&P 500 Index Earnings Revisions Ratio. "Looks to be just about the best in more than a year."

29. Median stock vs. SPX. "From 2000 to 2022, only 24% of the stocks in the index outperformed the average stock. Over this measurement period, the average return on an S&P 500 stock was 390%, while the median stock rose by just 93%."

See:

30. SPX seasonality. And finally, “we are heading into a historically healthy time of the year for equities.”

Thanks for reading!