The Macro Show. Hedgeye Risk Management LLC

Transcription

1 Hedgeye Risk Management LLC

2 LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does not provide investment advice to individuals. This research does not constitute an offer to sell, or a solicitation of an offer to buy any security. This research is presented without regard to individual investment preferences or risk parameters; it is general information and does not constitute specific investment advice. This presentation is based on information from sources believed to be reliable. Hedgeye Risk Management is not responsible for errors, inaccuracies or omissions of information. The opinions and conclusions contained in this report are those of Hedgeye Risk Management, and are intended solely for the use of Hedgeye Risk Management s clients and subscribers. In reaching these opinions and conclusions, Hedgeye Risk Management and its employees have relied upon research conducted by Hedgeye Risk Management s employees, which is based upon sources considered credible and reliable within the industry. Hedgeye Risk Management is not responsible for the validity or authenticity of the information upon which it has relied. TERMS OF USE This report is intended solely for the use of its recipient. Redistribution or republication of this report and its contents are prohibited. For more detail please refer to the appropriate sections of the Hedgeye Services Agreement and the Terms of Use at DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 2

3 1 2 3 S&P 500 EUROPE OIL

4 1 S&P nd day in a row where the S&P 500 will tap the low-end of Risk Range ( ). In conjunction with that, front-month VIX will signal immediate-term #overbought (again) with the SPY sporting a +89% implied volatility PREMIUM vs. 30-day realized so, as we ve been saying for a year now, buy/cover the damn dip.

5 2 EUROPE If you want to be short equity markets, there s plenty to do in Europe there are Bearish TREND setups in Spain (IBEX down -3.3% in the last month alone vs. the Nasdaq +2.9%), Portugal, and Greece (down -6.4% in the last month); French CPI came in at only +1.1% y/y for OCT and European 10YR Yields look as dovish as Draghi does.

6 3 OIL Oil finally corrects from the top-end of Risk Range (currently = $ WTI) so we ll be looking for buying opportunities in both the commodities and equities today. Kevin Kaiser recently launched Bearish on ETE (he s hosting a call on Energy Transfer today at 11AM EST) in case you re looking for great shorts against Oily Energy longs.

7 MACRO GRIND

8 Will You Be Buying The Dip? DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 8

9 NFIB Small Business Optimism DATA SOURCE: BLOOMBERG, NFIB, HEDGEYE Hedgeye Risk Management LLC 9

10 NFIB: Compensation Plans DATA SOURCE: BLOOMBERG, NFIB, HEDGEYE Hedgeye Risk Management LLC 10

11 DATA SOURCE: BLOOMBERG, NFIB, CONFERENCE BOARD, HEDGEYE Hedgeye Risk Management LLC 11

12 PPI Final Demand: Headline & Core YoY% DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 12

13 PPI Final Demand: Goods vs Services YoY% DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 13

14 PPI Food YoY% DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 14

15 Euro DATA SOURCE: STOCKCHARTS Hedgeye Risk Management LLC 15

16 10-Government Bond Yields DATA SOURCE: STOCKCHARTS Hedgeye Risk Management LLC 16

17 Light Crude Oil DATA SOURCE: STOCKCHARTS Hedgeye Risk Management LLC 17

18 Spain Bolsa de Madrid IBEX 35 Index DATA SOURCE: STOCKCHARTS Hedgeye Risk Management LLC 18

19 London Financial Times Index FTSE 100 DATA SOURCE: STOCKCHARTS Hedgeye Risk Management LLC 19

20 Weekly Asset Allocation Commodities (5%) Domestic Equities (7%) Domestic Fixed Income (4%) Emerging Market Equities (15%) Foreign Exchange (13%) International Equities (13%) Int'l Fixed Income (15%) Cash (29%) 5% 7% 29% 4% 15% 15% 13% 13% Hedgeye Risk Management LLC 20

21 Weekly Asset Allocation 0bps Commodities (5%) Domestic Equities (7%) Domestic Fixed Income (4%) Emerging Market Equities (15%) Foreign Exchange (13%) International Equities (13%) Int'l Fixed Income (15%) Cash (29%) 0bps 29% 29% 0bps 0bps 0bps 0bps 13% 11% 0bps 0bps 2% 2% 0% 2% 0% 0% 0% 5% 5% 0% 4% 0% -0bps -2% -2% -2% -3% -1% -3% -3% -1% -0bps -0bps -7% -8% -9% -11% -11% -12% -13% -13% WoW Change 3W Change 3M Change 6M Change Hedgeye Risk Management LLC 21

22 U.S. Index Rev. & Earnings Comps DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 22

23 Sector Performance DATA SOURCE: BLOOMBERG, HRM Hedgeye Risk Management LLC 23

24 Sector Relative Performance DATA SOURCE: BLOOMBERG, HRM Hedgeye Risk Management LLC 24

25 Market Share Volume & Total Value Traded DATA SOURCE: BLOOMBERG, HEDGEYE Hedgeye Risk Management LLC 25

26 Style Factor Performance DATA SOURCE: BLOOMBERG, HEDGEYE Hedgeye Risk Management LLC 26

27 Rates & Spreads DATA SOURCE: BLOOMBERG, HEDGEYE Hedgeye Risk Management LLC 27

28 Key $USD Correlations DATA SOURCE: BLOOMBERG, HEDGEYE Hedgeye Risk Management LLC 28

29 CFTC Non-Commercial Net Long Positioning DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 29

30 CFTC Non-Commercial Net Long Positioning DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 30

31 Volatility DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 31

32 Volatility DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 32

33 European Data DATA SOURCE: BLOOMBERG Hedgeye Risk Management LLC 33

34 CFTC Net Futures & Options Positioning (TTM Z-Score) DATA SOURCE: BLOOMBERG, CME Hedgeye Risk Management LLC 34

35 CFTC Net Futures & Options Positioning (3YR Z-Score) DATA SOURCE: BLOOMBERG, CME Hedgeye Risk Management LLC 35