Daily market review Nov 15th 2023 ( institutional flow and positioning insights, Market in consolidation)
Broad market Overview
Market is in consolidation mode post CPI huge rally, every indices is around +0.1 to 0.5% by market close. Will it have shallow pull back or deeper pull back ? we will know by next week or after thanksgiving week. In general, stronger performer such as NDX/tech sector tend to have shallow pull back.
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Why did the market had such a huge rally for since early November ? Below are a few charts to illustrate why.
Corporate buyback
According to BofA data, corporate buyback was high around week 44, 45, which is the week before CPI Release
Institutional buying flow and positioning
Cash level drop (allocate to Equity), and Equity Overweight FM net % turn positive for the first time in 2023. ( because market conditions are improving drastically )
Hedge fund flow
According to Goldman Sachs, Hedge fund ramped up exposurein indices and ETF around end Oct - early Nov. ( buy the major market/sectors if conditions are turning in a big way, rising tide lift all boat, sort out the leader/laggard within each market/sector later, and also covered the short position established some time ago )
Deutsche Bank ( Discretionary vs Systematic investors )
There’s an increase in percentage of Discretionary investor vs systematic investor based on Deutsche bank survey. Why is there an increase in discretionary investors ? Because conditions are turning in a immense way, you can’t wait for the system to give you a signal to enter the market )
Earnings leading indicator
According to Morgan Stanley Leading Earnings indicator (1 yr ahead), it’s set to turn and improve soon, more market tailwinds are coming.
S&P 500
The daily ichimoku cloud is turning more Green in a visually obvious manner by Nov 15 market close.
Trend following process
On the trend following process/model , all the slow tempo model such as daily ichimoku cloud and 21Day EMA crossover to 63Day SMA model has given the “signal” for NDX. But for SPX, we are only pending for 21Day EMA to cross over to 63 Day SMA.
For newer readers, these models are not a trading signal per se, but more of a process/weight of the evidence approach to approximate the Commodity trading adviser (CTA) Trend following model “signal occurrence speed”. Because CTA usually employ a range of trend following model to long/short the market.
MOVE index
MOVE index closed at around 122, would like to see it closing below 120 consistently and move closer to 100 in the coming days.
NYSE market internals
Monday Nov 14, 1.03 to 1 NYSE Decliner to Advancer ratio ( 1456/1403)
Tuesday Nov 15, 10.5 to 1 NYSE Advancer to Decliner ratio ( 2667/254 )
Wednesday Nov 16, 1.24 to 1 NYSE Advancer to Decliner ratio ( 1587/1275 )
% of SPX stock above 50days and 200 days MA
Market breadth is healthy,
percentage of SPX-Stock above 50days-MA, currently at 70% .
percentage of SPX-Stock above 200days-MA, currently at 52% .
Sector performance over 1 week basis
Offensive sector ( Technologies, Communications , Consumer discretionary), financials, industrials are outperforming Defensive sector (Utilities, consumer staples) on a 1-week basis, from Nov 9 – 15.
As always, we will continue to monitor the charts, assess the bullish/bearish evidence day-by-day to make appropriate capital allocation and investment decisions.
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