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  • Shanghai’s Unprecedented Melt-Up Continues: 17 Straight Sessions Without a Bearish Candle

    Shanghai, China’s financial hub, has been experiencing an unprecedented melt-up in the stock market. The latest breakout has pushed the RSI (Relative Strength Index) to an astonishing 81, signaling a strong and sustained uptrend. However, this level of overbought momentum can be deceiving, as it may stay overbought for longer than anticipated. The 17 consecutive…

  • Unlocking the Power of Mortgage Holdings: How a $200bn Build Could Impact Convexity Hedgers and Market Dynamics

    In a recent note, Goldman Sachs examines the potential impact of a significant build-up in mortgage holdings on the market dynamics of active mortgage convexity hedgers. The investment bank estimates that a $200 billion increase in mortgage holdings could boost the holdings of these hedgers by around 25%, leading to increased paying and receiving flow…

  • Unlocking the Power of Mortgage Convexity Hedging: How Goldman’s Estimates Can Impact Market Participants

    In a recent note, Goldman Sachs estimated that a $200 billion build in mortgage holdings could boost the holdings of active mortgage convexity hedgers by around 25%. This increase in hedging activity has the potential to significantly impact market participants, particularly in times of volatility. To understand the implications of this estimate, it’s important to…

  • Consumer Sentiment and Investor Activity: A Closer Look

    Activity on the desk in Industrials was consistent with broader market performance, but there were some notable differences in investor activity between long-only communities and subsectors. Specifically, GEV, JCI, NVT, MTZ saw overwhelmingly better performance from the long-only community, while Cyclical names (FDX, KNX, FAST, FERG, GTES) fared much better as buys. This highlights the…

  • Investor Repositioning and Single Stock Dispersion Pick Up in US Equities

    As we begin the new year, investor repositioning is underway in US equities. The first week of trading has seen cash raised being redeployed further out the risk curve into cyclicals and value sectors, which are perceived to benefit from current bottlenecks in AI. While the broader rotation remains a focus, single stock dispersion has…

  • US Retail Seasonal January Rotation Into Single Stocks Hits Lowest Levels Since 2020

    The latest data from UBS’s retail market making clients shows that there were $23 million inflows on Friday, with buying occurring on four out of five trading days in January. However, this seasonal buying of single stock equities in January is on pace to be the lowest since 2020, when retail was a net seller.…

  • DXY’s Breakout from Downtrend Line May Signal a Major Turnaround in the US Dollar

    The recent development in the US dollar market has caught the attention of traders and analysts alike. The DXY, which is a widely followed index that tracks the value of the US dollar against a basket of other currencies, has broken above a key downtrend line, signaling a potential turnaround in the currency’s fortunes. The…

  • Japan on the Brink of Snap Election: Prime Minister Takaichi Considers Early Vote

    Japan is on the brink of a snap election, as Prime Minister Sanae Takaichi is reportedly considering calling a parliamentary vote in the first half of February. According to sources cited by the Yomiuri newspaper, both February 8 and February 15 are being considered as election dates. The Liberal Democratic Party (LDP), which is currently…

  • The Shift from Exceptionalism to Expansionism: A Contrarian’s Dream for a Strong US Dollar

    The United States has long been regarded as the global economic and political leader, with a strong dollar that has historically been seen as a safe haven in times of uncertainty. However, recent events have led some analysts to question whether this exceptionalism is still relevant in today’s world. In fact, there are signs that…

  • The January BCOM Rebalance: A Comprehensive Analysis of Material Flows

    The month of January is a crucial time for investors and traders alike, as the Bloomberg Commodity Index (BCOM) undergoes its annual rebalancing. This event often leads to significant material flows in the underlying futures contracts, and Energy Aspect’s quant team has taken a closer look at these movements. In this blog post, we will…