Post on 30-Sep-2020
HEDGEYE 2
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LEGAL
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE ASSET ALLOCATION
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
0%
10%
20%
30%
40%
50%
60%
70%
80%
CASH U.S.EQUITIES
INT'LEQUITIES
COMMODITIES FOREIGNEXCHANGE
FIXED INCOME
74%
0% 0%
12%
24%
42%
HEDGEYE ASSET ALLOCATION
The maximum preferred exposure for cash is 100%. The maximum preferred exposure for each of the other asset classes is 33%.
1 2 3
USD
COMMODITIES
EUROPE
USD Burn baby burn: hawkish, dovish, hawkish, dovish – the U.S. Dollar continues to drive asset reflation. The buy signal – in U.S. Dollar being immediate-term TRADE oversold at 93.62 on the USD Index with an immediate-term range of 93.62-95.48 and a EUR/USD risk range of 1.10-1.14…is a good spot to raise cash (again) in USD.
COMMODITIES Not surprisingly, a USD oversold signal registers overbought signals in the CRB Index, Gold, and Copper. WTI’s overbought level is right around $49.99/barrel (CRB Index overbought level = 193); Copper backing off 1st, as it’s the weakest of the reflation hands short-term traders are willing to hold.
EUROPE Big mean reversion move higher this morning for European Equities (which got hammered again last week). Italian stocks are leading +1.8% on the MIB Index (after falling another -3.8% last week to -19% YTD); that’s helping U.S. Equity futures, but #EuropeSlowing is not (yet) the latest bull case for U.S. stocks.
HEDGEYE 9
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
THE GRIND LOWER OF VOL THIS CYCLE IS STARTING TO BACK UP AND INFLECT HIGHER
DATA SOURCE: BLOOMBERG
HEDGEYE 10
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
THE GRIND LOWER OF VOL THIS CYCLE IS STARTING TO BACKUP AND INFLECT HIGHER
DATA SOURCE: BLOOMBERG
HEDGEYE 11
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
PERVERSELY A U.S. RECESSION IS BEST FOR THE BIGGEST DRIVER OF EXCHANGE TRADED ACTIVITY (VOL)
DATA SOURCE: BLOOMBERG
HEDGEYE 12
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
GOLDMAN’S U.S. FINANCIAL CONDITIONS INDEX HAS RISEN INTO RECESSION THE PAST 2 CYCLES
DATA SOURCE: BLOOMBERG
HEDGEYE 13
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
AND RISING (TIGHTENING) GS FINANCIAL CONDITIONS INDEX OVERLAYS TIGHTLY WITH THE VIX
DATA SOURCE: BLOOMBERG
HEDGEYE 14
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
EUROPEAN VOL HAS THE SAME LINEAR RELATIONSHIP WITH ECONOMIC GROWTH
DATA SOURCE: BLOOMBERG
HEDGEYE 15
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
VOLATILITY IS THE CAUSAL FACTOR FOR EXCHANGE TRADING HERE SHOWN AGAINST U.S. CASH EQUITIES
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
HEDGEYE 16
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
STRONG RELATIONSHIP EXISTS BETWEEN EUROPEAN VOL AND EURO STOCK TRADING
DATA SOURCE: BLOOMBERG
HEDGEYE 17
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
LATE CYCLE MEANS GETTING CLOSER TO THE CLIFF AND CLOSER TO HIGHER SUSTAINED VOL
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
HEDGEYE 18
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
LATE CYCLE MEANS GETTING CLOSER TO THE CLIFF AND CLOSER TO HIGHER SUSTAINED VOL
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
HEDGEYE 19
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
AND THE $64,000 QUESTION OF DOES HIGHER VOL TURN INTO REVENUE ON BOTH SIDES OF THE POND?
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
HEDGEYE 20
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
CORPORATE SPREADS OVER TREASURY ALWAYS RISE INTO RECESSIONS PRESSURING CORPORATE LIQUIDITY
DATA SOURCE: BLOOMBERG
HEDGEYE 21
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
WHICH RESULTS IN AN ADVANTAGE IN LOWER COST OF CAPITAL FOR THE INDUSTRY
DATA SOURCE: BLOOMBERG
HEDGEYE 22
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
THE FUTURES EXCHANGES SKEW THE COMPS BUT WE THINK #’S ARE TOO LOW AND MARKET CAP WILL GROW
DATA SOURCE: BLOOMBERG, COMPANY ESTIMATES
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE MACRO PROCESS: RATE OF CHANGE
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
REUTERS/JEFFERIES CRB INDEX
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
LABOR MARKET CONDITIONS INDEX
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
THINK WE’RE LAPPING BAD COMPS BY Q2?
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE SECTOR PERFORMANCE
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE SECTOR RELATIVE PERFORMANCE
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE STYLE FACTOR PERFORMANCE
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE RATES & SPREADS
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
CFTC NON-COMMERCIAL NET LONG POSITIONING
3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
MARKET SHARE VOLUME & TOTAL VALUE TRADED