OFFSIDES MACRO 8.2.26
Positioning Analytics across Equities, Rates, FX, and Commodities
*WARSH CONSIDERS REDUCING FREQUENCY OF FED POLICY MEETINGS: NYT - Seems obvious to me that Warsh is trying to understand where non-manipulated rates would actually trade after decades of interference that only benefited a small cohort. Letting the market (which is always right) tell us where rates should actually be is refreshing. Finally, someone else acknowledges that unsophisticated academics have no business playing God.
Asset-Class Positioning Matrix:
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Asset-Class Observations:
Equities: Positioning ticked tiny higher WoW largely driven by Nasdaq. Equities as a group continues to flirt w/ upper quartile positioning and I continue to lean/look out for shorts, particularly in S&Ps and Dow which are both definitively in consensus OW territory
Rates: We largely see the same story in Rates:
Front-end of the curve is in aggressive consensus OW territory while the back-end is mixed
10s positioning entered deep UW territory but this reading does NOT reflect heavy selling post fed, so it’s likely that positioning is trending in even deeper UW positioning and I’m looking for a turn here
FX: Same story in USD: Max absolute high readings in my proprietary USD Index (using DXY futes is flawed). Volatility had been compressing before this week
Most extreme offsides pairs vs USD: EUR, CAD, JPY (not sure after this week tho), NZD
MXN, and especially BRL are deeply in consensus UW territory
Metals: Positioning is slowing pulling back below neutral (and closer to the lower quartile on a short-term lookback).
There’s a growing dispersion between Gold (consensus OW) and Silver (consensus UW)
Copper positioning continues to drift near highs as Platinum and Palladium largely remain consensus UW
Energy: Not surprisingly, Energy positioning (ex Nat Gas) continues trending higher as RBOB remains the most consensus OW
Positioning in Heating Oil has backed off as my neighbor now understands what crack-spreads are
Grains / Softs / Livestock discussion/charts available upon request
Reach out for instrument-specific positioning analytics: 400619470@bloomberg.net
Disclaimer: This publication is for general informational and educational purposes only. It is not investment advice and blah blah blah …