Institutional Insights: Goldman Sachs #SP500 Positioning & Levels
Institutional Insights: Goldman Sachs #SP500 Positioning & Levels
According to Goldman Sachs Analysis Commodity Trade Advisors, predominantly trend followers are positioned as follows
Summary:
1. CTA Corner: We have CTAs modelled long $149bn of global equities
(91st %tile) after buying $8bn of equities last week globally (link).
2. GS PB: The GS Equity Fundamental L/S Performance Estimate fell -
1.23% between 7/12 and 7/18 (vs MSCI World TR -0.72%), the largest
drawdown in 3 months, driven by alpha of -0.85% and beta of -0.37%.
The GS Equity Systematic L/S Performance Estimate rose +0.25%
during the same period, driven by alpha of +0.32% and beta of -0.07%
(link).
3. Buybacks: We estimate this week will be the final week of the
estimated corporate blackout window. We estimate the upcoming open
window will run 7/29 – 9/6. By 7/29, we estimate ~50% of the S&P 500
will be out of blackout (link).
4. Charts in Focus: Sentiment Indicator, US Panic Index, SPX vs. Singles
Skew, Call Skew vs. Put Skew, S&P Futures Liquidity, Funding Spreads
vs. S&P 500.
CTA Corner
CTA Flows:
• Over the next 1 week…
o Flat tape: -$13bn to sell (+$634m SPX to buy)
o Up tape: -$2bn to sell (-$73m SPX to sell)
o Down tape: -$46bn to sell (-$6bn SPX to sell)
• Over the next 1 month…
o Flat tape: -$18bn to sell (+$865bn SPX to buy)
o Up tape: +$40bn to buy (-$57m SPX to sell)
o Down tape: -$234bn to sell (-$61bn SPX to sell)
• Key pivot levels for SPX:
o Short term: 5465
o Med term: 5207
o Long term: 4798
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Patrick has been involved in the financial markets for well over a decade as a self-educated professional trader and money manager. Flitting between the roles of market commentator, analyst and mentor, Patrick has improved the technical skills and psychological stance of literally hundreds of traders – coaching them to become savvy market operators!