US_Equities_Weekly_Rundown_4-5-24pdf
US_Equities_Weekly_Rundown_4-5-24pdf
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  1. Prepared by Prime Brokerage. In evaluating this material, you should know that it could have been previously providedto other clients and/or internal Goldman Sachs personnel, who could have already acted on it. The views or ideas expressed here are those of the desk and/or author only and are not an official view of Goldman Sachs; others at Goldman Sachs may have opinions or may express views that are contrary to those herein. This material is not independent advice and is not a product of Global Investment Research. This material is a solicitation of derivatives business generally, only for the purposes of, and to the extent it would otherwise be subject to, CFTC Regulations 1.71 and 23.605.Global Banking & Markets April 5, 2024US EquitiesWeekly RundownPositioning, Flows, and Observations Across the FloorPortfolio Manager’sSummaryUS stocks tradedhigher on Friday but stillfell -1% on the weekfor the S&P 500, as investorsdigesta steady stream of procyclical dataagainst a higher ratesbackdrop andrisinggeopolitical tensions.Copper, Power Consumption, and Megacap Techwere among the biggest gainers, whileBitcoin SensitiveStocks, Most Short, and Non-Profitable Tech underperformed.Prime:US equities were net sold for 4 straight trading sessionsinto NFP, driven by short sales outpacing long buys ~5 to 1, andHFs net sold both Macro Products and Single Stocks.Consumer Discretionary was among the worst performing and the most net soldsectorson the week, asmanagers reduced long positions every dayin the sectorthis week and shorted Retail ETFs.SharesSales Trading:Desk flows were mixed on the week with LOsfinishingbetter for sale in Consumer Disc, Healthcare, and Info Tech. Hedge fundflows were more muted, with notional flows finishing slightly better to buy. As UST 10-Yryields retraced Novhighs, we sawsupply in the more rate sensitive pockets of the marketandacross the Retail complex within consumer.Futures Sales Trading/Strats:Equities faltered this week ahead of the stronger-than-expected payrolls data on Friday as rates rallied and geopolitical risks weighed on sentiment.However, funding spreads remained elevated, suggestinginvestors likely have a fairly comfortable cushion before aselloff might lead to some capitulation of longpositions. The short/medium/long term trend levels in our systematic models help quantify this phenomenon –S/M/L levels for SPX are 5107 / 4833 / 4591.Derivatives Sales Trading: For the first time this year, we saw real demand for protectionon Thurs, as the GS Panic Index reached its highest level sincelast fall, and 3.04m QQQ putstraded(the third most ever).Gamma positioning has rolled off as dealers were lifted on skew–We now model dealers longonly 1.5bn in gamma and theywill continue to get shorter on the downside.ETF Trading:China ETFs were net bought on the ETF deskthis week, driven by activity in FXI (H-shares) and MCHI (H-shares & A-shares).With local market closures on Thurs/Fri, ETFs were the vehicle for price discovery –FXI traded over 41m shares on4/4. However,there has not been a fullforce re-entry into the space, as confirmed by the lack of primary flows into China ETFs.Baskets& Themes:Introducing the GS 1970s Inflation Comeback basket (GSXU1970), which is composed of real economy industries that have outperformed the market when inflation resurged in the late 1970s.The lack of investment interest has led to disciplined management teams, and valuations, balance sheets and return of capitalprovide support whilewaitingfor inflationto inflect. Thesestocksalso tend to dowell when Mag7 underperformsand during geopolitical flare ups, which have occurred.Sector Specialists:The NDX continues to bouncearound.While the key tenants of the Tech bull case remain intact, there has been an emerging debate around near-term A.I. momentum and the linearity into the 2H of the year(especially as non-AI spending in Tech appears set to improve) –something investors will be watching closely into earnings.In Consumers, althoughenough companies have given cautious updates and higher gas prices remain an increasing topic to show us that sentiment has changed this week, we are not sounding the alarm on consumer spendingand do not think a coordinated slowdown is likely. What We Are Readingand Listening toThis WeekWhere to Invest Now: Orbiting around 5200(link)The AI Transition One Year Later: On Track, but Macro Impact Still Several Years Off(link)Research Unplugged: Oil Update: Risks After Rally, 2040 Road Demand, and Bullish Refining Call(link)Track these themes with the GS Custom Baskets Launchpadon BloombergFor access:please reach out to your sales coverage and gs-gssu-permissioning@gs.comSource: Bloomberg, Goldman Sachs FICC and Equities data as of 5-Apr-24. Past performance is not indicative of future results.S&P 500Nasdaq 100Russell 2000STOXX 600Nikkei 225CSI 300SPX 1-M Realized CorrelationVIX10Y USTUS DollarWTI FutureGold FutureBitcoinLevel5,204.3418,108.462,063.47506.5538,992.083,567.8018.7%16.034.40%104.2986.712,322.8067,751.76WoW Chg-1.0%-0.8%-2.9%-1.2%-3.4%0.9%4.0 pp23.2%0.20 pp-0.2%4.3%4.8%-2.7%YTD Chg9.1%7.6%1.8%5.8%16.5%4.0%1.7 pp28.8%0.52 pp2.9%21.0%12.1%61.6%BasketTickerWoW Price ChgYTD Price ChgBasketTickerWoW Price ChgYTD Price ChgGlobal CopperGSXGCOPP5.85%16.14%MegaCap Tech vs Non Profitable TechGSPUMENP7.15%48.38%Power Up AmericaGSENEPOW3.80%27.56%HF VIP vs Most ShortGSPRHVMS5.53%14.67%Commodity SensitiveGSXUCOMO3.09%11.75%Power Up America vs HedgeGSPUPOWR5.31%27.75%Megacap TechGSTMTMEG1.62%25.37%AI Hardware vs Tech ex AIGSPUDATA3.42%20.35%Capex BeneficiariesGSXUCAPX1.28%20.53%AI Beneficiaries vs At RiskGSPUARTI3.14%31.64%BasketTickerWoW Price ChgYTD Price ChgBasketTickerWoW Price ChgYTD Price ChgBitcoin Sensitive EquitiesGSCBBTC1-14.18%31.64%Long Value vs Secular GrowthGSPUVLSG-1.78%-3.87%Liquid Most ShortGSXUMSAL-5.56%-0.02%Quality Compounders vs Over-Earning CyclicalsGSPUQCCY-1.74%-10.82%Non Profitable TechGSXUNPTC-5.25%-17.70%Wage Hedge vs Short Wage PressureGSPUWAGH-1.39%-5.97%Most Short RollingGSCBMSAL-5.16%-0.54%High vs Low ESGGSPUESGS-0.73%0.68%MemesGSCBHRSB-4.74%0.78%Domestic vs Int'l SalesGSPRAIIN-0.69%-0.03%Macro/Thematic Baskets: Top Perfomers This weekMacro/Thematic Pairs: Top Perfomers This weekMacro/Thematic Baskets: Bottom Perfomers This weekMacro/Thematic Pairs: Bottom Perfomers This week
  2. Prime ServicesVincent Lin, CFAvincent.lin@gs.comMarco Laicini, PhDmarco.laicini@gs.comErin Tolarerin.tolar@gs.comFreddie Parker, CFAfreddie.parker@gs.comAsset Weighted Risk Exposures: US Fundamental L/SGross leveragedecreased-2.6ptsto 195.2% (88thpercentile three-year), while US Fundamental L/S Net leveragewas little changed at 53.7% (46thpercentile three-year).Aggregate US Fundamental long/short ratioincreased +0.7%on the week to 1.759(31stpercentile three-year).Trading Flows: US equities were net sold on the week(-0.5 SDs 1-year)and in each of thepast 4 sessions, drivenby short salesoutpacing long buys ~5 to 1.Overall Gross trading activity in US equities increased for a 10thstraight week. •HFs net sold US Macro Products(Index and ETF combined) after 2 straight weeks of net buying, driven entirely by short sales.US-listed ETF shorts increased +1%, led by shorting in Small Cap Equity,Consumer Discretionary, and Real Estate ETFs.•US Single Stockswere net sold for a 2ndstraight week (3 of the past 4), driven by short salesoutpacing long buys 2.5 to 1.US Single Stock shortflow has increased for 8consecutive weeks.•7 of 11 US sectors were net sold on the week, led in notional terms by Comm Svcs,Consumer Discretionary,and Health Care, whileInfo Tech, Utilities,Staples, and Financialswerenet bought. •Consumer Discretionarywas among the worst performing and the most net sold US sectors, driven by long-and-short sales (~4 to 1), as HFsreduced long positions every day this weekand shorted Retail ETFs.Specialty Retail was by far the most net sold subsectorfollowed by Household Durables and Textiles, Apparel & Luxury Goods,partiallyoffset by net buying in Autos and Broadline Retail. •After being heavilyshorted in March, US Info Tech stocks saw the largest net buying in 5 weeks, driven by long buys outpacing short sales 3.5 to 1. Tech Hardware and Semis & Semi Equip were the most notionally net bought subsectors, while ElectronicEquip, Instruments & Components was the most net sold. LeverageGross %Net %L/S Ratio (MV)Current195.253.71.759WoW Chg-2.6pt0.0pt0.7%MoM Chg2.4pt-2.3pt-3.2%YTD Chg-1.8pt1.3pt2.0%Current 1-Yr Percentile65%44%46%Current 3-Yr Percentile88%46%31%Current 5-Yr Percentile93%54%32%US Fundamental L/S (Asset Weighted)Gross Leverage (%, left) Net Leverage (%, right)US Fundamental L/S: Gross vs. Net Leverage1551601651701751801851901952004042.54547.55052.55557.56062.56567.57072.5JulJanJulJanJulJanJulJanJulJan201920202021202220232024US Fundamental L/S: Long/Short Ratio (MV)1.61.651.71.751.81.851.91.9522.052.12.152.22.25JulJanJulJanJulJanJulJanJulJan201920202021202220232024
  3. Source for all graphs and tables: Goldman Sachs FICC, Equities, and Prime Services data as of 5-Apr-24. Past performance is not indicative of future results.Long Flow Short Flow Net FlowPB Trading Flows: US Equities (Positive Value = Buy or Cover)% of Total US Net MV at Start of 2023-70%-60%-50%-40%-30%-20%-10%0%10%20%30%40%50%60%JanFebAprMayJunJulAugSepOctNovDecJanFebApr20232024Single Stocks Macro Products (Index + ETF)PB Net Trading Flow By US Product (Positive Value = Buying)% of Total US Net MV at Start of 2023-16%-14%-12%-10%-8%-6%-4%-2%0%2%4%6%8%10%JanFebAprMayJunJulAugSepOctNovDecJanFebApr20232024TMT Consumer Disc Cyclicals DefensivesPrime US Net Trading Flow (Positive Value = Buying)% of Total US Net MV at Start of 2023-16%-14%-12%-10%-8%-6%-4%-2%0%2%4%6%8%10%JanFebAprMayJunJulAugSepOctNovDecJanFebApr20232024-2.0-1.5-1.0-0.50.00.51.01.52.02.53.0Standard Deviations (1-Year)Prime Book: Cumulative US Net Trading Flow5-Day Net Flow20-Day Net FlowBUYINGSELLING
  4. US SharesSales TradingJoe Anastasiojoseph.anastasio@gs.comMatthew Kaplan, CFAmatthew.kaplan@gs.comMarket absorbed a mix of macro (PCE, ISM, JOBS, Fed Speak, Geopolitics) & micro data (ULTA, LW, Managed Care) this week as wehead into what should be a heavy catalyst week coming up: March US CPI and FOMC minutes (10-Apr), ECB decision (11-Apr), and the start of bank earnings (12-Apr). Also a couple of AI events coming up (Google Cloud Next Conference, Marvell).Desk flows were mixed on the week with Asset Managers finishing largely better for sale in Consumer Discretionary (off the back of -'ve data from competitor conf + LW EPS), Healthcare (Managed care finished down ~5% on the week post CMS rate announcement),and Info Tech (de-grossing across MOMO winners / rotation into underperformers)Hedge Fund flows were more muted on the week, with net notional flows finishing slightly better to buy. As US10YR yields retraced Nov highs, we did see signs of supply in more rate sensitive pockets of the market (towers stood out) + supply across the Retail complex within consumer.Source: Goldman Sachs FICCand Equitiesdata as of 5-Apr-24. Past performance is not indicative of future results.35003700390041004300450047004900510053005500-80,000-70,000-60,000-50,000-40,000-30,000-20,000-10,000010,00020,000Jan-22Feb-22Mar-22Apr-22May-22Jun-22Jul-22Aug-22Sep-22Oct-22Nov-22Dec-22Jan-23Feb-23Mar-23Apr-23May-23Jun-23Jul-23Aug-23Sep-23Oct-23Nov-23Dec-23Jan-24Feb-24Mar-24Apr-24US Equities: Aggregate Institutional Net Flows (Cumulative Notional)Aggregate LO Net Flow (left)Aggregate HF Net Flow (left)SPX Price (right)
  5. Futures Sales Trading and StrategiesRobert Quinnrobert.quinn@gs.comPaul Leyzerovichpaul.leyzerovich@gs.comMason Fennellymason.fennelly@gs.comEquities faltered this weekahead of the stronger-than-expected payrolls data on Fridayas rates rallied and geopolitical risks weighed on sentiment. Fundingspreads remained elevated, trading in line with levels seen in mid to late March but were sharply lower from the quarter-end levels we highlighted last week (see Chart 1). Given the size of the YTD rally and the lack of further relief in funding spreads in the face of the move lower this week, investors likely have a fairly comfortable cushion or buffer before a selloff might lead to some capitulation of long positions. Theshort/medium/long term trend levels in our systematic models help quantify this phenomenon –S/M/L levels for SPX are 5107 / 4833 / 4591.Prompt WTI and Brent futures continued to rally this week, hitting the highest levels seen since October of last year (see Chart 2). A confluence of headlines contributed–news of additional drone strikeson Russian refineries, escalating tensionsbetween Israel and Iran and an OPEC+ meetingthat left output quotas unchanged. Brent time spreads rallied alongside the move in spot (June-July Brent traded up as much as +22c WoW to 1.07 Thursday before reverting back to 1.00 at the time of writing), reflective of tightness in the spot market. See GIR’s Oil Trackerfor more. Metals werealso strong–copper led industrial metals higher (LME 3m Copper +5.1% WoW) and silver (+7.5% WoW) led precious metals, surging to the highest levels since June of 2021 (see Chart 3) before paring gains on Friday. Both our CTA model and recent CFTC CoT data point to significant net buying of silver futures from investors over the past month (CFTC data shows net length has increase +$4.8b / GS CTA model shows +$6.0b from the systematic community).UST yields kicked off the week with a sharp move higher (US 10y +10bp Monday and traded as high as 4.42% on Wednesday) on the back of stronger economic data, specifically strong personal spending data on Friday when markets were closed followed up with a strong ISM Mfg print Monday, and better than expected Factory Orders Tuesday. GIR raised their Q1 GDP trackingestimate to 2.3% following Tuesday’s data. The strong payrolls data on Friday helped to validate the move higher with 10y yields hovering around 4.40% at the time of writing (up from 4.31% at Thursday’s close). In line with the move in the belly of the curve Friday, short term rate markets pushed out their expected timing for rate cuts –as of Thursday’s close, Fed Funds futures had priced a full 25bp cut by July but post-NFP the first 25bp cut was not fully priced until the September meeting.Chart 1 –June 2024 CME AIR SPX Funding
  6. Chart 2 –Prompt WTI and Brent Crude OilChart 3 –SilverSourcefor all charts: Bloomberg, Goldman Sachs FICCand Equitiesas of 5-Apr-24. Past performance is not indicative of future results.
  7. ETF TradingSerena Tchorbajianserena.tchorbajian@gs.comJackson Isaacsjackson.isaacs@gs.comChina:Withanabundanceofglobalmacrodataoutthisweek,theETFdeskhasbeenfieldingquestionsaroundtheoutlookforChineseequitiesrelativetotheglobalequitycomplex.ChinaETFswerenetboughtthisweekontheGSETFDesk,drivenbyactivityinFXI(H-shares)andMCHI(H-shares&A-shares).EspeciallywithlocalmarketclosuresonThursdayandFriday,ETFswerethevehicleforpricediscovery–FXItradedover41msharesonThursday(4/4).Takingalookatourprimebook,Chineseequitieswerenetboughtforthepast2weeksinwhatappearstobethefirstpositivespurtsinceearlyFebruary.Source: Goldman Sachs FICC and Equitiesand Prime Servicesdata as of 5-Apr-24. Past performance is not indicative of future results.However,longpositioningfromHFsisstillatanall-timelow...evenwithlocalstimulusefforts,therehasnotbeenafull-forcere-entryintothespace.LookingthroughtoETFs,it’sconfirmedbythelackofprimaryflowsintoChinaETFs–overthepastweek,therehavebeennonetflowsintoChineseequities.1-monthflowswere$523mofnetredemptions,ledbyMCHI(theiSharesMSCIChinaETF).GraphbelowdemonstratesthesharesoutstandingofMCHIoverthepast3years–wearecurrentlybacktosharesoutstandinglevelslastseeninApril2022...however,inthatsametimeframe,NAVdepreciatedby3.5.Therefore,AUMcontractionhasnotonlybeenafunctionofadecreaseinsharesoutstanding,butalsoaconsistentNAVbleed.
  8. Source: Goldman Sachs FICC and Equitiesdata as of 5-Apr-24. Past performance is not indicative of future results.AUMdeteriorationpicturedbelow-inApril2022,thefundheld$6.5bnwhilecurrentAUMstands$4.9bn.Source: Goldman Sachs FICC and Equitiesdata as of 5-Apr-24. Past performance is not indicative of future results.ThedeskisactivelyengagingwithclientsonETFtradeimplementations–pleasereachoutwithanyquestionsonstrategies/color.
  9. Derivatives Sales TradingErin Briggserin.brigg@gs.comBrian Garrettbrian.garrett@gs.comLee Coppersmithlee.coppersmith@gs.comCullen Morgancullen.morgan@gs.comGillianHoodgillian.hood@gs.comFor the first time this year, we saw real demand for protection in the vol market on Thursday ... the GS Panic Index (an equal-weighted index of four equity vol metrics), reached its highest level since the fall. This demand for short-dated options has inverted SPX term structure headinginto payrolls.
  10. There was also record demand in NDX as 3.04m QQQ putoptions traded Thursday, the third most ever.At the time of Thursday’s close, the 1d SPX straddle went out at ~1%, the highest level since March of 2023.
  11. Gamma positioning has rolled off this week as dealers were lifted on skew. We now model dealers long only 1.5bn in gamma and they will continue to get shorter on the downside. Source for all charts Goldman Sachs FICC & Equities, Bloomberg, as of April-2024. Past performance is not indicative of forward returns.
  12. Thematic Baskets and Macro ObservationsLouis Millerlouis.miller@gs.comFaris Mouradfaris.mourad@gs.comGuillaume Soriaguillaume.soria @gs.comJulia Maschjulia.masch@gs.comIntroducing the GS 1970s Inflation Comeback basket (GSXU1970)which is composed of real economy industries that have outperformed the market when inflation resurged in the late 1970s: including oil, mining, fabricated products, transportation, construction, and real estate. The basket is liquid at $300mm at 10% ADV.Despite falling inflation, the backdrop for these inflation oriented stocks is uniquely good. The lack of investment interesthas led to disciplined management teams that are shareholder focused, and valuations, balance sheets and return of capital provide support while waitingfor inflation or global growth to inflect, while US growth is above trend. If capacity or supply becomes a problem, suddenly these companies can over-earn, and the status quo of high free cash flow ispretty solid. Moreover, these companies tend to perform well when Mag7 underperforms, providing portfolio benefit, and also do well during geopolitical flare ups, which have occurred.Source:Bloomberg, Goldman Sachs FICC & Equities, as of April-2024. Past performance is not indicative of forward returns.
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