Daily Chartbook #292

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1. Housing affordability. "Our US housing affordability index is at new record lows."

2. Seasonal jobs. "For the first time in the post-pandemic era, the number of seasonal/holiday job postings on Indeed has fallen below pre-pandemic levels."

3. Household savings reserve. "This month, 29% of consumers indicated they do not have any savings."

4. Consumer interest payments. "The cost-of-carry for existing consumer debt (not counting mortgages) has skyrocketed."

5. Corporate interest payments. "Net corporate interest expense has gone down this year. It is effectively as if the Fed cut rates. Why? Because corporates took advantage of QE to term out borrowing at record-low rates and are now earning 5%+ interest on their cash."

6. Small business bankruptcies. "Nearly 1,500 small businesses filed for Subchapter V bankruptcy this year through Sept. 28, nearly as many as in all of 2022."

7. ISM Manufacturing PMI. US manufacturing contracted for the 10th consecutive month, but it was the slowest pace of contraction since November 2022. Both the new orders and employment gauges improved while prices fell more than expected.

8. S&P Global Manufacturing PMI. The index "rose to 49.8 in September (Aug: 47.9) to signal only a marginal deterioration in operating conditions. Production expanded due to increased manufacturing employment as firms sought to broaden capacity."

9. CTAs vs. gold. CTAs are bearish gold.

10. UST shorts. "Short positions in US Treasuries have reached new all-time highs and could lead to strong price reactions in case of a short-covering rally."

11. Equity sentiment. Goldman's Sentiment Indicator bounced to 0.6 from 0.2.

12. Euphoriameter. "The 'Euphoriameter'...is still back on the bullish side, and...has not failed in recent history as a medium-term bull signal when it drops deeply pessimistic and then turns up."

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13. Equity sell side indicator. "Historically, when the indicator has been here or lower, 12m forward S&P 500 returns were positive 95% of the time (vs. 81% overall) with a median return of 21%."

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14. Equity positioning (I). "Aggregate equity positioning tumbled to slightly below neutral [last] week...Discretionary investors as well as systematic strategies slashed exposure sharply."

15. Equity positioning (II). It was one of the sharpest drops in aggregate positioning since early 2022.

16. Retail stock allocation. "Asset allocation to stocks broadly flat (+0.1%) at 67.10% for Aug '23 vs 67.0% for Jul '23."

17. Net call volume. "Total net call volume (call minus put) dropped close to a 10-month low and has broken out of its longer-term range on the downside (2nd percentile)."

18. Sector fund flows. Inflows to Tech equity funds (+$0.1bn) continued last week while Healthcare (-$1.2bn) and Consumer Goods (-$1.0bn) saw heavy outflows.

19. Sector positioning. "Technology remains the only sector with above average positioning (z score 0.25, 64th percentile), albeit only modestly so."

20. CTAs vs. global equities. "CTAs cut their aggregate equity positioning sharply [last] week."

21. CTAs vs. US equities. "In the US, CTAs are short $17.5bn of equities after selling -$59bn over the last two weeks (largest two week selling since Covid)."

22. HF flows (I). "Overall US equities were bought for the first time in 4 weeks and saw the largest net buying since mid-July."

23. HF flows (II). "Hedge funds net bought US Info Tech for the first time in 7 weeks...On the other hand, managers unloaded Energy longs at the fastest pace in more than 6 months."

24. Insider Transaction Ratio. The ratio "has now returned to the bullish zone, indicating a positive sentiment among corporate insiders and potentially signaling a favorable outlook for the market."

25. VIX streak. “VIX has spent [93] sessions below 20, the longest streak since Covid, yet low implied vol regimes can last significantly longer.”

26. Weak rally. "There have been 28 lows in the S&P 500 since 1928…The current rally ranks as the 9th-weakest. It has had among the fewest net number of advancing minus declining stocks."

27. SPX ROE (I). "S&P 500 return on equity (ROE) (ex-Financials) has fallen by 69 bp this year to 23.4% but still ranks at the 97th percentile since 1975."

28. SPX ROE (II). "Most sectors trade near the valuation implied by their expected ROE. Notable exceptions include Info Tech, Consumer Discretionary, and Energy."

29. Defensives vs. SPX. Defensives are getting less cheap.

30. Mega-cap discount. And finally, “on a growth-adjusted basis, the megacaps trade at the largest discount to the median S&P 500 stock in over six years.”

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