The major US equity indices all rose more than 2% last week, driven by buybacks and improving earnings growth. A pullback in US treasury yields and the Dollar Index also contributed to gains last week, as higher treasury yields can reduce investment in stocks with a stronger currency, making exports more costly. A continuation of these trends could help support equities over the coming weeks. For today, the bullish sentiment in stocks is being helped by the easing of US-China tensions after President Donald Trump tweeted Sunday that it “will all work out” on U.S.-China trade. Also, the US earnings season winds down this week, with most of the reports from retailers coming on Wednesday and Thursday, led by Macys and Walmart respectively. S&P 500 On the 4-hourly chart, the S&P500 (SPX) broke out to the upside from the January trend line and is trading in an ascending wedge. A break of 2740 would open the way for further gains towards 2800, with resistance at 2762. After such a sharp rally, a period of consolidation or a retracement would not be a surprise. A break of the wedge could see a decline with support at 2716, followed by the 50% retracement of the rally from May 8 at 2695. Nasdaq 100 On the daily chart, the Nasdaq 100 (NDX) has traded to the upside in an ascending wedge towards the 7000 level. A break of 7000 would open the possibility of the index attempting a new all-time high. However, a reversal and break of the wedge could see a retracement towards the 23.6% Fibonacci and horizontal support at 6870, followed by 6780.
U.S. equity indices started the week on a positive note, supported by energy stocks which benefited from the rise in crude oil prices. U.S. WTI crude oil pushed above $70, as markets await President Trump’s decision on a possible U.S. withdrawal from a deal giving Iran relief from sanctions in return for stopping its nuclear weapons development program. U.S equity indices have also been boosted from a rally in Apple shares to new all-time highs, as Warren Buffett revealed that Berkshire Hathaway added 70m shares in the first quarter, taking their holding to 240m. Apple has also launched a $100bn share buyback plan. A number of influential companies will be reporting earnings this week including Walt Disney today and Nvidia on Thursday. S&P 500 On the daily chart, the S&P500 (SPX) is continuing to trade below the descending resistance trend line from the highs in December. A break below support at 2660 will see further declines towards the 50% retracement near 2636, followed by another test of the 200MA at 2622. A bullish continuation and break of 2680 will likely see a push towards 2800, with resistance at 2718 and 2748. Nasdaq 100 On the daily chart, the Nasdaq 100 (NDX) has broken a falling resistance trend line from the highs in March and is stalled at the 61.8% retracement level at 6850. A bullish break of 6850 could see the NDX aim for all-time highs, with major Fibonacci and horizontal resistance at 7000. However, a reversal will find support at 6755 and then at the trend line and 50% retracement of the bullish move from May 3, near 6690.
U.S. stocks closed lower on Friday, with the selloff eroding much of the week’s gains. Equities were pressured by a decline in Apple, after cautious analyst reports cast doubts about iPhone sales. Moreover, the yield on the 10-year US Treasury is rising and is close to 3%, a level which has previously caused a bearish equity market reaction. Rising bond yields offer alternatives for funds looking to allocate cash and improve performance, so can be negative for equities. On a positive note, earnings season has started strongly with 80% of the S&P500 companies reporting having beaten forecasts. A number of influential companies will be reporting earnings starting with Alphabet today after the bell, followed by Facebook, Amazon and Microsoft later in the week S&P500 On the daily chart, the S&P500 (SPX) is testing the neckline of the inverted head and shoulders pattern. A break below support at 2600 will see further declines towards the 68.1% retracement and 200MA confluence near 2615, with 2635 providing some support. A bullish move above 2680 will likely see another test of the falling resistance trend line at 2705. A break of the trend line is needed for a continued bullish move to the pattern target at 2800. NASDAQ100 On the daily chart, the NASDAQ100 (NDX) has broken a rising support trend line and is testing a major zone of support at 6650. A break of this support will see continued declines towards the 50% retracement at 6585, followed by 6525, before heading for the 200MA. However, a bullish move above 6755 will open the way for a test of the highs at 6870.
The first quarter of 2018 is one of the most heavily anticipated earnings seasons, due to high expectations for YoY earnings growth (20.0%). Amidst a high bar, S&P 500 companies
U.S stock markets look set to move higher after shrugging off geopolitical concerns and with earnings season kicking into gear. There is some relief that a direct confrontation between the U.S. and Russia over Syria seems to have been avoided after Russian President Vladimir Putin just warned that further Western attacks in Syria would bring chaos to world affairs. Also, expectations that the missile attacks on Syria will not be repeated helped the positive sentiment. Investors now look ahead to earnings from companies such as Netflix, Bank of America, IBM, Alcoa and General Electric reporting this week. Last week saw reports from J.P. Morgan, Citigroup and Wells Fargo, all beating bullish estimates which may serve as an indication of a strong earnings season. S&P500 On the daily chart, the S&P500 (SPX) is trading clear of the 200MA highlighted in our previous reports. There is now the possibility of an inverted head and shoulders pattern, with a measured target of 2800, which will be activated if the index breaks above 2675. Upside resistance will be found at the 61.8% retracement level of 2705, and then, 2760. However, if there is a bearish reversal, a break of 2345 could open the way for another test of the 200MA near 2605. US30 In the daily timeframe, the US30 index is testing trend line resistance. A break of the trend line and 61.8% retracement level of 24600 could open the way for further upside movement towards 25050 and 25500. On the flip-side, a reversal below 24300 will likely find support at 23950, before testing the 200MA near 23635.
U.S. equities had another turbulent day on Friday with a deep selloff. However, yet another tweet from President Trump over the weekend, signalling a possible softening in his approach to a trade war with China, has been improving sentiment. Traders should be aware of a speech by Chinese President Xi Jinping at the Boao Forum on Tuesday, in case of comments about the country’s readiness to retaliate or possibly negotiate in the trade dispute. This week sees the start of earnings season with JP Morgan Chase and Citigroup being the first big U.S. corporations reporting on Friday. Technology stocks will also be in focus, as Facebook has suspended another data analytics company called CubeYou pending investigations. Moreover, Facebook CEO Mark Zuckerberg will testify before Congress on Tuesday and Wednesday with regards to the Cambridge Analytica scandal. S&P 500 On the daily chart, the S&P500 (SPX) is trading around the 200MA highlighted in our previous reports. The sustained break of this critical support at 2599 opens the way to the February lows at 2530, with more immediate support at 2550. A break of the February lows could lead to deeper declines to 2490. However, a bullish reversal and close above the 38.2% retracement and falling resistance trend line at 2640 is needed to change the outlook, with further upside resistance at the 50% retracement level of 2675. NASDAQ 100 On the daily chart, the Nasdaq 100 (NDX) has tested but is still trading above the 200MA at 6310. Immediate support is at 6430 and, if broken, another test of the 200MA at 6310 is possible. A decisive break of this critical level would open the door to a test of February lows at 6160. On the flip-side, a bullish reversal and break of 6630 would lead to further upside resistance at 6740.
Q2 2018 begins with a thud as weakness in the technology and consumer sectors pull the S&P 500 (SPX) and other indices into correction territory.
Despite last week's impressive rally, virtually all of my key secondary stock market indicators are still negative. It would take a sustained rise this week above S&P 500 (SPX) 2730 to 2770, amid vastly improved market internals, to confirm the US stock market is “out of the woods”.
The last trading day of the quarter dawns with the tech sector licking its wounds amid its worst month since 2012. Quarterly losses look likely for SPX and $DJI.
В своем новом отчете BofA анализирует, как действовали режимы волатильности за период, охватывающий "бычьи" и "медвежьи" рынки, когда волатильность "бычьего" рынка, как правило, является хорошим предвестником волатильности "медвежьего" рынка.
В своем новом отчете BofA анализирует как действовали режимы волатильности за период, охватывающий бычьи и медвежьи рынки, когда волатильность бычьего рынка, как правило, является хорошим предвестником волатильности медвежьего рынка.
Yesterday's bloodbath in markets - after such exuberance on Monday - is set to continue if historical precedents are anything to go by. Nomura's cross-asset-strategy chief Charlie McElligott notes that yesterday’s equities pain via a brutal factor-unwind resembles one of the most violent performance drawdowns in recent history - that of Jan / Feb 2016 - and seemingly "idiosyncratic risk" is now turning more "systemic" in crowded Tech "data" plays as "death-by-paper-cut" now becoming a longer-term regulatory overhang of their core "data commodity." Worrying words indeed. McElligott first breaks down just what happened yesterday - and where the real "cataclysmic" pain was felt - before moving on to 'what happens next'? SUMMARY The -4.1 z-score move in “Cash / Assets” factor - the best performing factor strategy of the past 2 years - speaks to likely forced capitulation / book blowouts, similar to what we experienced back in Feb 2016 as “equities market-neutral” performance was crushed in a violently-short period of time “Cash / Assets” is important because it is a pure proxy of the “Growth over Value” theme which has been the dominant reality of the post-GFC period and has accelerated in the past two years to look a lot like “Momentum” factor The analogs of similarly extreme prior drawdowns in “Cash / Assets” (again effectively a “Growth over Value” AND expression in its current-form) give us both “good” and “bad” forward-looking news The “good” - said prior “extreme drawdowns” with this particular “Growth over Value” proxy ( “Cash / Assets” factor) have seen mean-reversion HIGHER at the SPX level on average from a 1w to 3m basis The “bad” - “Cash / Assets” factor typically continues to underperform primarily due to the outperformance of the “short” leg from here (“defensives”) This then is an equities performance risk because “Cash / Assets” is effectively “Momentum” long-short and thus, mirrors general Equities Hedge Fund Long-Short positioning Further squeeze in the “short leg” of “Cash Assets” too squeezes the “short leg” of “Momentum” via the broad equities fund underweight / short in the “duration-sensitives” like REITs and Utilities This in turn only puts MORE pressure on the March CPI print to “come through” and hit the expected uptick off the back of the “Telco Service” roll-off mathematical boost, likely putting rates / USTs back under pressure Otherwise, further rates rally / short-squeeze will only perpetuate the pain being felt across equities underweights / short-books OVERNIGHT: The Bund / UST “flight to safety” rally and “seeming” short squeeze is further extended as yesterday’s equities-centric risk-unwind (un-packed in gory-detail below) chops ‘risk’ asset price-action overnight. Blocks buys in RX earlier which printed at session highs set-up the next level for Bunds looks to be a retest of Dec ’17 contract highs, while TY too clears the 38.2% retrace of the YTD selloff move (121-18 is 50% next level). Our rates team notes big real money demand overnight and “BIG” receiving flows in the 5Y through 15Y sector. UST 30Y yields at 3.01 should act as a reminder to investors that YES, ‘long duration’ still works as a “risk off” hedge into this current softer economic growth backdrop, as opposed to the inadequate state of “duration as a hedge” back during the Feb vol spike. That scenario was driven by the very contrary acceleration in “growth” economic data—especially wage- and inflation- kind--that in turn dictated the fixed-income selloff that drove the behavior which didn’t allow USTs to work as a hedge. This time truly IS different, it seems...at least until the potential for March CPI headline to hit at 2.4% and the “bear raid” on fixed-income will take another “go” at USTs. To this point, 3m $LIBOR sets +0.6, and despite the insane rally in fixed-income yday (front ED$ a 2.3 standard deviation move relative to 1Y returns), Darren Shames astutely notes that ED open interest STILL barely budged (Whites +36k/ Reds -3k/ Greens +46k/Blues -3.8k). High conviction from the ‘bearish / paying rates’ crowd, indeed. Not surprisingly, “growth-y” and tech-heavy Asian equities markets were hit hard overnight, although in pretty ‘sane’ fashion—TOPIX -1.0%, Nikkei -1.3%, HIS -2.3%, SHCOMP -1.4%, KOSPI -1.3%. USD is only marginally firmer against G10, as the lower UST yields act to drag the currency down despite the “risk-off” nature of the recent trade. Nonetheless, both Industrial Metals (iron ore -1.1%, copper -0.8%) and Crude (WTI -1.0% after last night’s surprise API inventory build at 6x’s the expected estimate—jarring the recent ‘demand-driven’ bounce theme) are both struggling and also feeding into the lower nominal- and ‘real-‘ yield dynamic that we currently see. Spooz currently working their way back to overnight session highs with a Shire Pharma bid and a Walgreen’s earnings beat / raise. But the damage of yesterday will loom for an extended period of time, I’d imagine. COMMENTARY: Let’s skip right to the chase: the behavior within particular recent factor- and thematic- “winners” within the US equities space yesterday was so violent / so “tail” that the scale of the drawdown was reminiscent of the brutal market-neutral quant factor unwind period of Jan / Feb 2016. For the unitiated, that particular episode of whiplash forced a number of heavily-leveraged “platform books” to liquidate around the Street,in turn destroying performance for many over the balance of that particular year, despite an almost immediate “snapback higher” in both relevant factors and broad SPX over the following weeks. Yesterday was particularly stunning because it occurred with “Cash / Assets” factor--the “biggest factor winner” since July of 2016--which also happens to be the period marking the “cyclical lows” in UST yields before the past nearly two years of grinding higher. In fact, Nomura’s “Cash / Asset” factor made 5 year lows on June 27th 2016, four days before UST 10Y yields made all-time lows on June 30th, 2016 (point-being, “quant factors” are just another tool to “see” shifts in the fundamental and macro landscape potentially sooner than other traditional methods). The key here is this, as noted by our phenomenal Quant Strat Joe Mezrich in a piece from mid-February: “Amid the rise in interest rates since July 2016, sectors with high cash/total assets and low debt/equity—tech, financials (ex-banks) and industrials—have also outperformed, while sectors with the opposite characteristics—telecom, utilities, real estate and staples—have underperformed.” So to me, this factor is an almost “pure” proxy of “Growth vs Value,” which has probably been the biggest theme within the entire equities since the GFC. “CASH / ASSETS” AS A PURE EXPRESSION OF “GROWTH VS VALUE”: Source: Bloomberg Amidst all the ongoing questions with Tech / Growth “crowding,” the potentially massive regulatory implications of these “New Tech” companies--whose “revenue commodity” is data in the midst of this current #deletefacebook panic—is just simply enormous. So extremely crowded conditions are met with now “large and slow-moving” regulatory overhang due to seemingly “idiosyncratic risk,” which perversely has now apparently turned into “systemic risk” for the “data” space (see Axios piece today noting a White House acceleration of negativity around Tech universe—both on tax and regulatory). On top of the ongoing and ugly Facebook situation, you then incredibly “pile-on” with yesterday “short sale” report on Twitter (a stock +47% last year and what had been +33% YTD through Monday’s close) being “most exposed” to a similarly murky “data exposure” scenario, and then the “pure idiosyncratics” of mega-“high flyer” graphics-chip maker NVDA’s -7.8% 1d move (but +26% YTD through Monday’s close) after its involvement in the Uber car crash - while too TSLA (a stock +46% last year) slumped 8.2% yesterday as investors also question their own recent fatal car crash….you simply have the makings for one of the most “freak” blow-ups I’ve seen in my 17 years in the business. Source: Bloomberg Many of these companies, as shown by 1Y and YTD returns, are clear “Momentum” longs. Many of these same companies are clear “Growth” longs. The two biggest “drags” within the aforementioned and critical “Cash / Assets” factor long blowup yesterday? TWTR -12.0% and NVDA -7.8%. Third worst? ADBE -6.6%, a huge “CLOUD DATA” player. Fifth worst? ANET, a “CLOUD DATA” player -6.4% on the day. I could go on. NOMURA ‘CASH / ASSETS’ FACTOR LARGEST LAGGARD % MOVERS YDAY—‘LIGHTS OUT’: Source: Bloomberg A HISTORY LESSON: This is where it gets “familiar,” and not in the “good” way. “Cash / Assets” market-neutral factor experienced a brutal -2.9% absolute move yesterday, which relative to the absurdly high Sharpe of this factor strategy over the last year was an even more amazing -4.1 z-score move. That is CATACLYSMIC. Source: Bloomberg The last time we saw moves that extreme in this pure “Growth” factor expression? February 5th, 2016—which was the day that still super-crowded “CLOUD DATA” play Tableau Software (ticker ‘DATA’ is the most meta-ironic thing I think I’ve ever seen in my life BTW) absolutely blew the market-neutral buyside to smithereens, as the stock traded -49.4% after a relatively benign “miss” caused a knock-on effect across the “cloud” theme which was an “ultra long” across tech books and growth funds around the Street. Let’s take a trip down memory lane. The investor masses by-and-large were set-up “long growth” in equities (Tech, Fins, Energy) / short fixed-income to start the year 2016, after the Fed had just begun their hiking-cycle the month prior in Dec ’15 on the basis of “economic escape velocity.” Higher rates from “real economic growth” was about to begin, and it was time to get long the stuff that responds in this sort of expansion, against paying rates / short USTs. However, we immediately saw a BRUTAL mean-reversion / pension fund rebalancing trade to start ’16 as the “deflation scare” absolutely NUKED Tech, Financials and Crude / the Energy space while the “bearish / paying rates” set-up saw “bond proxy” defensives RIP HIGHER as USTs rallied. The crowded “growth” trade was absolutely defenestrated then, against a whalloping fixed-income / duration / “low vol” rally… January 2016 % return: SPY -5.0% QQQ -6.9% SMH -6.7% KRE -12.6% KBE -12.6% XLF -8.9% XLE -3.5% XLP +0.5% XLU +4.9% UST +6.6% TLT +5.6% EDV +8.4% With this already brutal backdrop in January forcing multi-manager platform team blowouts and book unwinds across this heavily-leveraged equity market-neutral universe (“tight stop” risk management), the Tableau print at the start of February was the straw that broke the strategy’s back, “daisy-chaining” capitulation everywhere. That lone stock blow-up sent the entire HFR Equities Market Neutral Index -3% in one day! Source: Bloomberg What’s the punchline? Some people really got hurt yesterday—in a BAD way. When the buyside goes that quiet...you know things went “wrong.” WHAT HAVE PRIOR BLOW-UPS IN THIS FACTOR MEANT FOR FUTURE RETURNS? So to be fair, the positioning-angle of this current iteration of the “secular growth” trade has “only’ been this extreme for the past few years—meaning that analogs of prior blow-ups in “Cash / Assets” are not “apples to apples” per se. But it still matters because this type of volatility, forced “stop-outs” and book capitulations only further weigh on my recent talking point since February, being the “damaged psyche” of risk- / equities- investors, who have been conditioned to ‘buy the dip’ time and time again to their benefit over the past 5+ years. Now, there is a HARSH re-training occurring, as we’ve clearly transitioned to a TRADER’S MARKET from an EASY-CARRY / HIGH SHARPE / ‘SET IT AND FORGET IT’ one. The daily stop-outs and drawdowns are also becoming too much for the institutional set, as almost every other day since the start of February, we see “shorts / underweights” outperforming “longs / overweights.” GROSS-DOWN, again(and FWIW, I think at least part of the reason a lot of this isn’t being expressed purely in Prime Broker data is because so much of the hedging is done via Futures right now, and that data is sitting at Clearing Brokers): Source: Bloomberg The issue here is that there is “spill-over” into popular macro and systematic positioning as well: Source: Bloomberg So how about the good news first at the SPX-level, which is where cross-asset / macro is going to care. The analogs dating-back to 2010 of prior extreme drawdowns with this particular “Growth over Value” proxy / theme (that being the “Cash / Assets” factor I’ve concentrated on above) have seen mean-reversion (HIGHER) at the SPX level—take a look at the following data run by my colleague Eric Passmore last night: Source: Nomura Now for the bad news—“Cash / Assets” factor typically continues to underperformprimarily due to the outperformance of the “short” leg from here (the “long” basket of “Growth” holds positive with a 60% ‘hit rate’ 2w out and a 50% hit rate 1m out). So what’s in that “short leg” of the “Cash / Asset” basket which per the analog continues to squeeze painful higher and sap the returns of your ‘long’ leg? All of the “Value” long stuff, the defensives / duration-sensitives / bond-proxies that nobody owns and frankly makes up the majority of the “Momentum” short as well—i.e. strategies that are running a “mirror” of “Momentum” long-short (broad equities HF long-short) are likely in for more downside chop over the coming month. Source: Bloomberg “CASH / ASSETS” LOOKS A LOT LIKE “MOMENTUM” BECAUSE OF THE “GROWTH VS VALUE” ATTRIBUTES: Source: Bloomberg ANALOGS SHOW THAT ‘CASH / ASSETS’ CONTINUES TO STRUGGLE OVER THE NEXT 1M AS THE ‘SHORT’ LEG (REITs, UTES) SQUEEZES HIGHER: Source: Nomura Below are the case-by-case prior returns since 2010:
In a new report from BofA's equity derivatives team, the bank analyzes how vol regimes have existed through time spanning subsequent bull and bear markets, where bull market vol tends to be a good predictor of the following bear market vol (chart below, left-hand side). The bank has found that vol tends to be somewhat predictable within market cycles, and that bull markets in particular exhibit a "volatility smile" in which realized vol is more elevated during the first and fourth quartiles of each period relative to the second and third quartiles (chart below, right-hand side). Simplified, and rather intuitive, this shows that volatility rises heading into the end of a bull market. Which is ironic because as Nitin Saksena notes, as recently as the end of January and before the Feb vol shock, realized vol was near the most depressed levels in history, suggesting perhaps even more upside pressure as we head into the late stages of this bull market. For perspective, 12m realized vol as of 26-Jan-2018 (the peak of the current cycle) was 7.0%, a level below even the least volatile bull market in history from June-1962 to Feb-1966 when realized vol was only 8.4%. How quickly things have changed in the past 2 months, when both implied and realized vol has exploded higher. So what happens next in theory? To answer that question, BofA first looks at a stylized example, and finds that based on historical data, vol has risen 3/4ths of the time in the last 12 months of a bull market relative to the period prior to the last 12 months. The BofA chart below on the left-hand side plots looks at some of the more popular recent bull markets and plots the SPX realized vol 24 months to 12 months prior to the end of period vs. SPX realized vol during the last 12 months. The chart shows that 9 of the 12 periods (those above the dashed line) saw vol pick up, the biggest being the bull market ended by the start of WW2 (Apr-42 to May-46). In other words, "history suggests that if we are indeed in the final innings of the current bull market, it is more likely than not that we will see upward pressure on realized vol." To be sure, rising vol in itself is not a necessary and sufficient condition for a recession, although even if the bear market is 24 months away, vol still tends to rise according to BofA. What's more, even if the there is some gas left in today's bull market - a case made by virtually every Wall Street analyst - increasingly more are expecting an uptick in realized vol. Specifically, we found that vol also tends to increase heading into the final two years of a bull market relative to the year before. The most prominent examples occurred during the Oct-90 to Jul-98 bull market, which saw a large pickup in vol in the last two years amid the start of the Tech Bubble, and the Aug-82 to Aug-87 bull market, which saw vol take off ahead of the Black Monday crash in Oct-87. Stepping back from the abstract, BofA's next question is troubling, if only for the bulls, because the bank asks, point blank, "what if Jan-2018 was the peak and we are now at the beginning of a new bear market?" To answer this, BofA extends the above analysis further to examine how vol reacts during the first 12 months of a subsequent bear market relative to the final 12 months of a bull market. The bank's results indicate that in 13 of 15 bull-to-bear market rollovers, vol increased. Of course, this result is not exactly surprising as everyone - perhaps with the exception of a 23-year-old "hedge fund manager" - expects bear market vol to surpass bull market vol (after all, full period median bear market vol is 21.0% versus a bull's 12.9%). There is one caveat, or rather two: there are two instances in which vol declined at the start of the bear market relative to the end of the prior bull market: Jun-49 to Aug-56 and Oct-74 to Nov-80. So going back to the original question: was Jan 2018 the peak for the market... something which Morgan Stanley determined last week, and has a new bear market unofficially begun, the first in a decade? Should we get a few more days like today's Nasdaq collapse, we won't need complex vol analyses for the answer.
The day starts with more optimism on the trade front, but two of the three major indices open the last week of Q1 with pretty decent losses for the quarter to date. It would take big rallies to push the $DJI and SPX back to even. Fed speakers are back, and volatility could continue.
World stocks came off six-week lows and U.S. stock futures jumped on Monday on optimism that the United States and China are set to begin negotiations on trade, easing fears about a trade war between the world's two largest economies. MSCI's world equity index , which tracks shares in 47 countries, turned positive on the day, having earlier hit its lowest level since February 9, after a Wall Street Journal report that Treasury Secretary Mnuchin was considering a visit to Beijing to begin negotiations. U.S. stock futures meanwhile rose more than 1 percent on the news.
With all due respect to Marko Kolanovic, it appears that it was more than just the "severe snowstorm" that spooked stocks yesterday (and certainly today). As Nomura's Charlie McElligott writes this morning, a perfect storm (if not of the snow variety) converged and risk-off catalysts abound as "Growth-Scare" murmurs gain further steam, driving not only the Dow Jones nearly 500 points lower, but also a robust UST bull-flattening as duration is grabbed and as Spooz break-below their 100dma. The Dow has broken below the Fib 38.2% retracement, tested and failed to break its triangle from the February crash, and is at its lowest in almost 6 weeks. The Dow is down 450 points, breaking to the downside of the "triangle formation".... ... and tumbling... ... While the S&P 500 has broken back below its 100DMA: So what's causing this? Here are the details from McElligott: Trump / China tariff-hype ‘realizes,’ trade wars” meme ensues PBoC decision to piggyback the Fed’s hike with their own +5bps reverse repo borrowing-rate increase adds to Asia-ex Japan sentiment swoon An idiosyncratic placing of mega-long momentum name Tencent Holdings which saw the stock close -5% and dragged-down HSI (a 9.9% weighting) and will negatively impact EEM (largest holding at 5.9%) While Fed and PBoC hike, the data continues to soften as “growth slowdown” fears mount: Japan PMI miss; French Composite PMIs dropped to a seven-month low; German Composite PMIs missed for the second consecutive month while all three IFO measures of German sentiment fell for March as well; EZ Composite PMIs grew at the slowest pace in 14 months with misses in Manu and Service Then there was the just announced resignation of Trump's head Mueller-probe lawyer, John Down, which has reignited Trump impeachment jitters, and suggests that the president is becoming increasingly nervous what Mueller can and will do next. Turning back to Fed, the Nomura derivatives guru reiterates his belief that there was a “high bar” for the market to interpret this meeting as a “hawkish hike” was spot-on. Powell then actually delivered a de facto “dovish” message, as the optically “hawkish” ’19 / ’20 dots and terminal rate views were based off of “unprecedented at best” economic projections from the Fed--which Powell himself downplayed as low-confidence forecasts with negligible “predictive” power Equities instead focused on the near-term “tangibles”: by communicating “3 dots only” in ’18; by focusing on a willingness to “overshoot on inflation”; by not committing to press conferences at every meeting; by talking-down the neutral-rate etc--equities instead heard a “dovish pivot” from the HH version of Powell and didn’t get that “growth confirmation” I believe that many were actually looking-for Remember, equities bulls have remained of the view that we can handle higher interest rates if “growth” is driving a higher “neutral rate” in conjunction—so in that sense, his lack of “growth conviction” was interpreted as a disappointment However what the equities audience DID hear was a very pro-cyclical / pro-inflation “dovish” message which helped facilitate the extension of the rally in crude and S&P sector leadership from Energy, Materials, Industrials and Financials This move in “Deep-Value Cyclicals”—in conjunction with the idiosyncratic Tech sector negative drivers which are being exacerbated by asymmetrically ‘crowded’ positioning—created a number of outlier “factor” moves below the index-level. Putting it all together, this fits with the long-term view McElligott has been espousing: a medium-term (3-6m) “cyclical melt-up” as inflation “realizes” (higher commods and breakevens while “Value” outperforms “Growth”) before ultimately forcing the Fed to “tighten” at a pace which exceeds market expectations, driving higher UST term premium and “spilling-over” into higher cross-asset vol / lower risk-assets / wider spreads by end of year. Additionally, some observations on the short-end/funding markets, where tactically-speaking, the “short-squeeze” potential remains a focal-point going-forward, as hawkish Fed expectations were not met, which in conjunction with the scale of the short-positioning and ongoing “softening” in global data COULD set the table for bull-steepening. Furthermore, today’s “disappointing” LIBOR set (was pricing 1.6 yday, fixed today at 1.45--below mkt expectations) may further add to this “squeeze” pressure, especially as recent foreign buying “could embolden” further purchases in the front-end, as well as “lead to the re-emergence of domestic real money buying” Today we see this acceleration of the rates rally getting folks pretty nervous, along with the USD rallying back near flat—in turn pressuring / reversing some of yday’s gains in corresponding “short USD” trades. The good news is that EU and Japan equities longs have been very reduced; the SPX / NDX exposure however remains very high within the macro universe—albeit hedged. Tactically within equities, the rally in fixed-income should continue the equities ‘pain-trade’ that is the MTD rally in ‘duration-sensitives’—while ‘growth’ feels tired and crowded right now. With mega-underweights Energy (best two-month seasonality since ’94 = March and April) and Utilities leading S&P performance against Tech’s fade, this has been a rough two-week stretch for equities funds, especially heading into the April “momentum unwind” seasonality. * * * Finally, some troubling observations on April seasonals from McElligott, who notes the April performance of ‘momentum’ when it comes into the seasonality with top decile of performance (currently we sit at this +14% band)... ... as both longs and shorts get hit hard:
Authored by Pater Tenebrarum via Acting-Man.com, Divergences Continue to Send Warning Signals The chart formation built in the course of the early February sell-off and subsequent rebound continues to look ominous, so we are closely watching the proceedings. There are now numerous new divergences in place that clearly represent a major warning signal for the stock market. For example, here is a chart comparing the SPX to the NDX (Nasdaq 100 Index) and the broad-based NYA (NYSE Composite Index). The tech sector is always the last one to get the memo – we have dubbed this the “flight to fantasy” – and it is always seen near major market peaks. Incidentally, the Nasdaq was the last index to peak in 1987 as well (the DJIA topped out in late August of that year, the Nasdaq on October 5). So this is a well-worn tradition. The divergences that have been established between these indexes in the recent rebound from the early February are a big red flag in our opinion. The Urge to Burn Money As mentioned in the annotations on the chart above, investors are now paying 10 times revenues for more stocks than at any time since early 2000. We discovered the following gem via Jesse Felder’s latest report (well worth reading in its entirety). A few years after the peak of the tech mania, former Sun Microsystems CEO Scott McNealy was interviewed by Bloomberg. He said the following about Sun’s peak valuation in 2000 (it was one of the stocks trading at more than ten times sales at the time): “At 10 times revenues, to give you a 10-year payback, I have to pay you 100% of revenues for 10 straight years in dividends. That assumes I can get that by my shareholders. That assumes I have zero cost of goods sold, which is very hard for a computer company. That assumes zero expenses, which is really hard with 39,000 employees. That assumes I pay no taxes, which is very hard. And that assumes you pay no taxes on your dividends, which is kind of illegal. And that assumes with zero R&D for the next 10 years, I can maintain the current revenue run rate. Now, having done that, would any of you like to buy my stock at $64? Do you realize how ridiculous those basic assumptions are? You don’t need any transparency. You don’t need any footnotes. What were you thinking?” (emphasis added) The answer is of course that nobody did much thinking at the time – and the same is evident recently as well. Also via Mr. Felder, here is a chart that shows the number of S&P 500 companies trading at 10 times revenues over time – currently there are 28 such stocks; at the peak of the mania in 2000 there were 36 (for a very brief moment). The number of S&P 500 stocks trading at ten times revenues: “investors” are going crazy again. It is quite ironic that companies trading at such lofty multiples are often characterized by the ability to burn cash at astonishing rates. For example, the above mentioned NFLX – which is a great company with great subscriber growth rates – reported free cash flows of a negative $2 billion last year and plans to burn through $3 to $4 billion in the current year. However, to paraphrase Mr. McNealy, what are people who pay ten times revenues for the stock thinking? That there will be some luxury miracle? Hint: there won’t be; investors are going to see their money burn as well, even under the most generous assumptions about the undoubtedly glorious future. Investors Tripping Over Each Other to Get In Remember when bitcoin exchanges could no longer keep up with all the new customers trying to open accounts? That happened in the two months before BTC peaked – it has since then declined by 55% (and was down by 70% at one point). Guess what happened in terms of equity fund inflows over the past several months. Inflows into technology equity funds – left hand side, annual flows (in 2018 until March 07 they reached $5 billion, which as far as know is a record for such a short time); right hand side, 8-week rolling flows into tech funds, which shows the recent massive acceleration in inflows in greater detail. They sure love them when they’re expensive. Tech company CEOs are probably happy, since they are selling hand over fist (admittedly, they almost always do – it rarely happens that insiders at these firms do anything else, sincea lot of their compensation comes in the form of stock options). For some reason investors tend to fall in love with tech stocks as soon as they are outrageously expensive. They don’t want to have anything to do with them when they are on sale (which happens rarely enough). The main point is though that whenever investors are getting this impatient to buy something that has gone up in price for many years, it is high time to get out of Dodge, because a financial accident is usually just around the corner. Plot twist: it’s not going to be different this time. It is also noteworthy that the market rally has become ever more concentrated in a handful of names. There are two reasons for this: 1. diminishing liquidity – it is no longer possible for the tide to lift all boats (this is also the message sent by the divergences in the first chart and by the market’s weak internals) and 2. the popularity of passive investing tends to boost the market caps of stocks that already sport the largest market caps, as new inflows into ETFs are invested according to the weightings of stocks in the underlying indexes. Obviously, this investment technique involves no analysis of the merits of buying these stocks at current levels. The following chart shows the proportion of the Nasdaq represented by the market cap of just five stocks (the FAANG stocks, i.e., Facebook, Amazon, Apple, Netflix and Google): The combined market cap of the FAANG stocks represents 26% of the total Nasdaq by now. This is traditionally also a major warning sign. Conclusion: The stock market remains in dangerous waters just as the next rate hike approaches. At such junctures one should keep in mind that it is actually irrelevant whether the economy is doing well, or “forward” earnings estimates are strong, or confidence is high, and so forth. These data points always look great near market tops and conversely look awful near major lows. The decisive factors for the stock market are liquidity (i.e., money supply growth rates, which have collapsed), valuations (extremely high valuations will eventually be corrected, often violently) and market internals & technical divergences (which are a reflection of liquidity and risk appetites). With respect to the latter, here is an updated chart of the comparison of US and European stocks we frequently show in these pages. The bearish long term divergence between these markets has now been rounded out with a series of bearish short-term divergences: Since the Euro-Stoxx index has never regained its 2015 peak, there are now both long term and short term bearish divergences in place vs. the US stock market.
One month ago, we wrote an article laying out i) what we thought was the most important correlation in the market, namely that between the 10Y yield and the S&P500, and also ii) explaining why in the aftermath of the February 5 vol explosion, it had flipped. Specifically, we said that "the 90-day correlation between stock (SPY) and bond (TLT) markets has surged ominously in the last few weeks." Today, none other than fixed income derivatives trading legend, Harley Bassman, picks up on this especially relevant topic, to explain why it really is all about the correlation. For those who may be unfamiliar, after building out Merrill's mortgage trading floor basically from scratch, then moving to the buyside at Pimco, last summer Harley Bassman, more familiar to many traders as the "Convexity Maven" - a legend in the realm of derivatives - he designed the MOVE Index, better known as the VIX for government bonds - decided to retire (roughly one year after his shocking suggestion that the Fed should devalue the dollar by buying gold). But that did not mean he would stop writing, and just a few months after explaining why "a decline of as little as 4% in one day could start a critical crash", a prediction which was confirmed by last month's volocaust, today Bassman provides the answer to a question which virtually every trader is asking: when should one worry, and when will the real bear market start? While the full - and detailed answer is provided in the full report below - his summarized answer, "for the record", is that "the real bear market will start once the long-term correlation between stocks and bonds flips for good." As he explains, the reasons for this correlation quake are manifold, but would likely involve ten-year Treasuries rising above 3.25%. Such would require a domino effect of the Fed raising rates three or four times, which of course would be precipitated by rising inflationary expectations. He also points out that there is a risk of a "friendly fire" scenario "of inadvertently stumbling into a Trade War, which is suddenly no longer a Black Swan event. While China cannot reduce its Treasury holdings without elevating its own currency, it certainly could threaten to sell Treasuries. Since provocative political bluster is now de rigueur, a few tweets from the Bank of China could be quite effective." And while we would go a little further, and say that one should keep a close eye on the USD and funding markets, the current state of the tech bubble, vol gamma, the Libor-OIS, the 10Y yield, and of course, overall market liquidity, which as Goldman yesterday finally admitted is "the new leverage", we fully agree that perhaps the most important "reversal" indicator would be the bond-stock correlation, and specifically the moment when it no longer reverts. Bassman's full thoughts below (pdf link): “How will I know…..” Last summer, in “Rambling near the Edge” (July 10, 2017), I highlighted that a combination of Risk Parity and Volatility Targeting strategies had contributed to a negatively convex market profile; and that such portfolios governed by a rules-based risk management process (similar to a Value at Risk – VAR paradigm) could become quite unstable in a slightly more volatile environment. An extension of this observation led me to suggest that one could synthetically model this risk profile as long an Index portfolio plus short a +/- 4% out-of-the-money strangle (on the Index). Thus, the quotable notion that as little as a 4% decline of the SPX in a single day could be enough to create the critical mass needed to shake portfolio managers out of their FED-induced somnambulance. I suppose better lucky than smart………. I doubt you need reminding, but on February 2nd the SPX closed down 2.1%, which elevated the VIX from 13.5 to 17.3; a level last visited in August 2017 and still well below its ‘forever average’ of 19.3. The next day, February 5th, as shown below, the SPX experienced a late day tumble that clipped down 4.5% from the prior close before the bell rang to record a 4.1% daily decline. The VIX crossed 20 soon after lunch, and closed the day at 37.3, up 116%. Portfolio managers governed by tight stops or reliant upon short-term signals had to close out positions as the VIX breached 50 (overnight) for only the second time since the Lehman collapse. The jump in the VIX, and the schadenfreude-laced news that the best investment strategy of 2017 (XIV) collapsed by 95% overnight, has been well documented by the press and other pundits. What has not been detailed are the contributing factors and what may presage a much greater drawdown. Expanding upon a notion detailed on page 6 of “It’s Never Different This Time” (January 29, 2018), the level of Implied Volatility is important for quantitative portfolio management as more than just a scalar measure of risk, i.e., VIX as the infamous “Fear Gauge”. Implied Volatility also generates the Greeks (delta, gamma, theta and vega) that define trading parameters and trigger stop-outs. Hence, unanticipated market movements can force indiscriminant hedging activity as risk managers suddenly outrank their CIOs. Whipping out a pen from my plastic pocket protector, an (annual) Implied Volatility of 19.3% (the VIX average) can statistically be reduced to a single-day standard deviation (often called the daily breakeven) of 1.21%. [19.3 / 15.9 = 1.21; where 15.9 = square root of 252 trading days] The line below is the VIX for the prior year, which averaged about 11.25. Playing a bit fast and loose with Stat 101, this would impute a daily volatility of 0.71%. That makes the 4.1% close-to-close change on February 5th a 5.78-Sigma event (4.1 / 0.71), which should occur about once every 2 million years. A fairer proposition would be to use the VIX close on February 2nd of 17.3. By that measure, the February 5th drawdown was a mere 4-Sigma event, which should only occur once every 31,560 days, or 126 years. My purpose here is to highlight how totally unprepared much of the investment community was for what in hindsight was a rather pedestrian correction. After an extended period of low (but not unprecedented) volatility, many risk models dialed-down such that an annual July 4th fireworks display suddenly was treated like a once-in-a-lifetime visit from Halley’s comet. In the more common environment of the VIX at 21, a 4% move would be expected to occur about once every three years, which sounds about right. The point of this rather long preamble is to explain how quantitative investment management can be problematic. Specifically, strategies that rely upon short-term signals and have narrow loss limits can be forced to transact at unfavorable times; thus were many managers shaken out of otherwise fine investments. I believe the main reason February’s convulsion was relatively contained, with almost a full recovery of the SPX and a return of the VIX to a more normal 17ish, is that ‘short-signal’ managers control only a relatively small portion of investment capital. The ‘big money’ tends to make decisions using longer observation periods to reduce both the statistical noise as well at the transaction costs associated with increased activity. Hence, there is no need for position adjustments until there is a more sustained decline. Let’s segue to the topic at hand. Among the most successful macro portfolio managers have been those engaged in the Risk Parity strategy. Using a broad brush, a Risk Parity portfolio owns both stocks and bonds in statistical proportion to their volatility and correlation. The trick is that, instead of a standard unlevered 60/40 construct (60% equity + 40% bonds), leverage is employed to take advantage of the relationship between these two assets. For example, an ordinary passive investment portfolio of $100 might buy $60 of the SPX and $40 of US 30-year bonds. Alternatively, a Risk Parity portfolio of $100 might own $70 of SPX and $130 of bonds. On its face, this may seem imprudent since $200 of assets have been purchased with only $100 of capital; but in fact, this sort of portfolio has proved less volatile over the recent past. This is because stocks and bonds have exhibited a significant negative performance correlation over the past decade. (Well, actually they are positively correlated when measuring changes in the SPX’s price and the Bond’s yield.) Above is the three-month moving average of the three-month correlation between the SPX price change and the Sw30yr yield change. What is most salient to note is how this correlation was close to zero in the decade prior to the Great Financial Crisis (GFC) but has since clocked in near 40%. There are two common explanations for this shift to a stronger correlation. The first postulates that this is the result of the heavy hand of Financial Repression. The obvious support for this notion is the lurch to correlation soon after the start of Quantitative Easing (QE) by the Fed. The alternative explanation is that the stock-to-bond correlation has been observed to be well associated with the level of Inflation. During times of low inflation, a rate decline can signal economic weakness, which is negative for stocks (bonds prices up / stock price down - positive correlation). However, at times of higher inflation, rising rates would presage a Fed tightening of monetary policy, which could pressure equities lower (bond prices down / stock prices down - negative correlation). While it is possible that the presently elevated positive correlation could be related to a low and steady CPI, it is unquestionable that QE is a direct result of low inflation. Its purpose was to raise Inflation to the Fed’s target level. Notwithstanding the above, I see no reason to untangle the chicken from the egg; QE will revert to QT (Quantitative Tightening) as inflation begins to rise. Thus, we arrive at a truly strange anomaly, the result of a well-intentioned public policy that seems to have inadvertently contributed to our disruptive politics. As noted, since the GFC in 2008-09 there has been a high correlation between the daily changes in stock prices and bond yields – when stock prices go up, bond prices go down, and vice versa. As such, one should suspect that if stock prices are near a record high, bond prices might be approaching some sort of nadir. Instead, both asset classes are near the upper edge of a decade’s performance. This is possible because of the different time periods used to measure correlation. On a daily basis these assets have been self-hedging as they have wiggled in opposite directions as buffeted by the news of the day. But over the longer-term horizon, they have both been elevated via Central Bank monetary expansion; a key contributor to rising income inequality. Risk Parity’s tremendous success is revealed via the SPX price in the chart above and the price of a constant 30-year treasury bond. Risk Parity portfolios have been ‘levered long’ assets that have both increased in value. (We used to call this a Texas-hedge.) Here is the bottom line: If this correlation turns negative so that both stock and bond prices decline, Risk Parity portfolios will be modified to reflect these new correlations and volatilities. In simple terms, they will sell. Risk Parity portfolios will not remain levered long if both assets are declining. So you want to know when to worry ? For the record: The real bear market will start once this correlation flips. Reasons this could occur are manifold, but it likely would involve ten-year Treasuries rising above 3.25%. Such would require a domino effect of the Fed raising rates three or four times, which of course would be precipitated by rising inflationary expectations. Of course, there is also the ‘friendly fire’ scenario of inadvertently stumbling into a Trade War, which is suddenly no longer a Black Swan event. While China cannot reduce its Treasury holdings without elevating its own currency, it certainly could threaten to sell Treasuries. Since provocative political bluster is now de rigueur, a few tweets from the Bank of China could be quite effective. Your comments are always welcome at: [email protected] Harley S. Bassman March 19, 2018
Приветствую всех своих читателей! В прошлое воскресенье рассматривал различные варианты движения индекса, но глобально с большей степенью вероятности смотрел вверх. Кто не читал стоит освежить начать от туда, а кто читал, освежить в памяти. Собственно в понедельник и вторник рынок еще продолжал некий рост, но потом прошла коррекция, которая по моему мнению является iv в 3 волной. Но для начала стоит еще посмотреть на старый график мартовского контракта, в котором рисовал локальную «перевернутую голову с плечами» IH&S. Как видим реализация первой цели практически получилась, и пошел ретест уровня шеи. Ну а сейчас хочется немного поразмышлять о фактах на текущий момент и попробовать понять куда движемся дальше: 1. Rollover 8 марта прошел в диапазоне 2724,25-2745,5 и после этого был выход вверх аж до 2807,25 по уже рабочему июньскому контракту 2. Экспирация прошла на отметке 2752,75 по мартовскому контракту; 3. Прошлый Rollover декабря 2017 года прошел 2629-2643,75. Иными словами мартовский контракт как не крути закрыли в плюс (см. пункт 2) 4. На этой неделе заседание ФРС и вероятнее всего учитывая предыдущие повышения ставок, в этот раз ставку не поднимут или сделают это чисто символически на 0,25 базовых пункта, тем самым успокоив рынок до июньского заседания, а то и до сентябрьского. На мой взгляд, если бы июньский контракт готовили к движению вниз, то старались бы провести и Rollover и экспирацию, хотя бы в диапазоне 2811-32. По этому предполагаю, что июньский контракт так же у больших парней лонговый и как следствие росту быть, тем более у спот рынка (индекс SPX) есть проблемы с незакрытыми гэпами вверху, да и максимум исторический поставлен без него. По SPX максимум равен 2872,87, а по ES 2878,5 и это по мартовскому контракту, уже не говорю про июньский, который все время был в контанго к мартовскому и его максимум по ES равен 2883,25 — НЕПОРЯДОК!!! Все вышесказанное надо исправлять! На новой неделе, конечно могут высадить лоу прошлой, ибо под ним полагаю очень много стоп приказов стоит у быков. Кроме того, как видно из графика (красная горизонтальная линия) — уровень 2739,5 — это первая январская коррекция и вокруг нее не раз уже плясала цена и в мартовском контракте. По этому не исключаю, что могут пройтись даже до уровня 2723-10 и уже от туда начать движение вверх выше 2800 и к новым историческим максимумам. Стоит не забывать, что Наздак еще на прошлой неделе в пятницу их у себя установил и уже закрепился там. То есть коррекция этой недели у него лишь ретест бывших максимумов в отличие от SPX. Но надо не забывать что S&P всегда тяжелее идет и ему нужно время. Разумеется надо держать руку на пульсе и реагировать по ситуации. Все свои актуальные мысли ежедневно выкладываю у себя в Канале и в Чате. На текущий момент: Уровни сопротивлений: 2768, 2772, 2784, 2789, 2802, 2808-11, 2821-27, 2846 Уровни поддержек: 2751-48, 2745, 2736, 2722-20 2716, 2709-07, 2702-698, 2672, 2663 Всем удачных торгов! Итоги работы Чата за 2017 год по фьючерсу ES (в пунктах на один контракт) — 696 пунктов: Общий январь-февраль 264,75 Март на текущий момент 80 пунктов на 1 контракт. Подробная информация помесячно за прошлый год по ссылке Для желающих присоединиться к чату, координаты ниже. Для связи: Whatsapp +792827944 ( ноль девять ) skype: ivandashkov instagram: idashkov Напоминаю, что помимо своего Чата, где транслирую ежедневно все свои сделки онлайн, еще открыт канал в Telegram где ежедневно пару тройку раз даю свое видение по рынку, но без рекомендаций и конкретики по сделкам. Telegram @I_Dashkov P.S. Ну и раз у нас в стране сегодня «великий» день, то хочется немного и про это поговорить! К сожалению, как обычно альтернативы нет и все это уже больше напоминает Фарс. Куча кандидатов ежедневно ведут дебаты: по 1 минуте вступительные слова, по 4.40 болтовни, и по 30 секунд завершающие, а главный кандидат даже не появляется на них — типа не надо. А за чем? Можно несколько часов трендеть по всем основным каналам как действующий. Нет — реально я не против Путина, кроме того его внешняя политика мне нравится (можно даже и жестче), но блин внутри страны бардак как был так и есть и все «Правительство» на мой взгляд куча воров и непрофессиональных людей. И при этом он их продолжает держать на местах уже какой год. А следовательно — это как минимум лицемерие. По этому, лучше всего подходит только вот это фото по ситуации С улыбкой наблюдаю за этим Цирком, и думаю, а что же будет через 6 лет, какую идею нам предложат. Попробую быть пророком и предложу свои варианты: 1. За 6 лет к РФ решат присоединиться например ЛНР и ДНР, и скажем еще какие-нибудь мелкие банановые республики из состава бывшего ЧИ-ЧИ-ЧИ-ПИ. А возможно даже не откажутся и Белоруссия с Казахстаном. Только все они войдут не как республики или края, а как независимые Государства и это будет Конфедерация, а ей как мы прекрасно все понимаем нужен новый Глава! :) Единственное, надо бы сменить тогда название с Россия на Росс и Я — так будет правильнее. 2. Этот вариант хуже. Если первый он мирный, то второй может просто пойти не известно по каким сценариям, но когда у государства просто не будет вариантов кроме как военных конфликтов и при этом раскладе, господина Путина просто оставят у руля, как в свое время в США оставили Франклина Делано Рузвельта во время Второй Мировой Войны, на третий срок.
Nikko AM's Global Investment Committee meets quarterly to predict trends for the next year. Our updated view remains positive on the global economy and equity markets even as global bond yields rise a bit further. Our SPX target remains near 3,000 by year end, with impressive gains elsewhere too.
Итак, если Конгрессмены не договорятся до 1 марта 2013 г., то выглядеть американское бюджетное секвестирование на 2013 фин. год будет следующим образом.Общий объем автоматического сокращения госрасходов = -$85,4 млрд.Из них:- оборонная промышленность: -$42,7 млрд. - не связанные с оборонной промышленностью дискреционные расходы: -$27,6 млрд. - не связанные с оборонной промышленностью обязательные расходы: -$15 млрд.Здесь еще вопрос в мультипликативном эффекте, т.е. эти $85 млрд. на самом деле обернутся куда большими потерями для экономики.Если все останется как есть после 1 марта 2013 г., то на 2014 фин. год. госрасходы ужмут уже на $109 млрд. На текущий момент настроения по поводу достижения компромисса во властных структурах Вашингтона не очень оптимистичные:Как видно, наибольший удар при секвестре понесет оборонная промышленность. При этом, 40% из $42,7 млрд. урезаний расходов на оборонку в 2013 фин. году. приходятся на 1 марта, т.к. шесть месяцев секвестра (сентябрь-март) ужимаются в один.Сокращения госраходов также коснутся следующих отраслей:Так ведет себя SPX при упоминании слова "Sequester"....хотя надо отметить, что скорее движения рынка пытаются объяснить этим словом, т.е. сначала есть движение в SPX, а потом уже СМИ раздувают эту тему.Show must go on....