MT GLOBAL MARKETS Momentum & Sentiment as of 08Nov19 wk45
1/n
• RiskON 5th wk as China talk hope and FED 3rd cut (and 44 cumulative global CB cuts) fuel momentum
• Cyclicals outperform Defensives esp Auto sector comeback
• Bonds in massive bear-steepening
• FED = oxygen
1/n
• RiskON 5th wk as China talk hope and FED 3rd cut (and 44 cumulative global CB cuts) fuel momentum
• Cyclicals outperform Defensives esp Auto sector comeback
• Bonds in massive bear-steepening
• FED = oxygen
2/n Global Markets Momentum/Trend/Exhaustion scores wk45
3/n Global Yields wk45
• this is how RiskONOFF looks like in bond land: EM outperforming while DM being sold off
• general massive bear-steepening
• BoT cut 25bp
• UK downgraded by Moodys to neg outlook
• this is how RiskONOFF looks like in bond land: EM outperforming while DM being sold off
• general massive bear-steepening
• BoT cut 25bp
• UK downgraded by Moodys to neg outlook
4/n BoT cut 25bp last wk and is I believe this was the 45th CB rate cut overall, hence picture changed completely from previously global hawks/growth outlook to slowdown and global doves.
#Liquidity shift drives momentum
#Liquidity shift drives momentum
5/n FED TOMO is slightly reduced but still very large (currently rolling 71b O/N and 143b 4xterm repos). Part of the liquidity toolbox
6/n FED's balance sheet has now increased +7.4% since 10weeks, the repo facilities and the recent T-Bill buy program.
This and the 3rd cut had also re-steepen the curve. a lot.
FF midtarget range 2s 5s 10s structure is not inverted anymore at the moment
This and the 3rd cut had also re-steepen the curve. a lot.
FF midtarget range 2s 5s 10s structure is not inverted anymore at the moment
7/n also noteworthy: Dec and Mar FF futs seem to have settled now around FF mid target range which means market expects no further cuts, macro / M.PMI surveys could also further improve.
8/n yet, macro-guys also watching the stretched biz cycle and [ maybe ] some indicators have started to roll over. e.g. (lagging) JOLTS came at 1.5Y low read and UE rate 0.1 up to 3.6, too early to say, but JOLTS/UE/FED/2Y usually go in tandem.
stock mkt momentum is up for now
stock mkt momentum is up for now
9/n Fear & Greed vs SPX RSI last week
10/n impl vola VIX plunged accordingly to 12 accompanied with a very steep contango curve
market breadth indicators are also all up at the moment (NH/NL, % of stocks > selective SMA, ADV/DECL ratios etc)
market breadth indicators are also all up at the moment (NH/NL, % of stocks > selective SMA, ADV/DECL ratios etc)
11/n next few charts will show some interesting bond performances
no1: TSLA ... bond investors are much more sensitive for obvious reasons, but the 5.3% benchmark tightened ~180bp over 4wks which shows how confident those guys are at the moment.
no1: TSLA ... bond investors are much more sensitive for obvious reasons, but the 5.3% benchmark tightened ~180bp over 4wks which shows how confident those guys are at the moment.
12/n no2: DBK ... one of their perps rallied now +30% YTD . As always, these "overlays" are not suggesting shares should trade €19, but it reflects the momentum divergence
13/n No3: remember Austria 100Y bond parabola FOMO move ? This convexity monster has lost 22% since the recent top. (Germany 30Y Buxl lost roughly -10%).
14/n so, some fast money bond HF may have caught this: longed DBK perps and "hedged" with a AT100Y short and could have made +37% or so.
15/n risk management 👀
16/n thats all for now. Next week RBNZ -25bp $NZD
@threadreaderapp unroll pls
