Goldman’s Scott Rubner with some relevant points:
1. Systematic Macro De-leveraging from vol control, risk-parity and new shorting of trend breakdown from CTA’s
2. Pension Fund quarter-end Equity “de-risk” estimates Supply underestimated by the street.
3. Short Index Gamma is the largest (most short) since GS have been tracking.
4. US Corporates are in peak blackout window (93% of SPX is in blackout window).
5. The movement to Passive investing will exacerbate outflows.
6. Foreign investors saw the largest selling stocks on record.
7. Outright Directional macro delta shorts are consensus.
8. Asset Managers are building a cash pile and raising cash.
9. Mutual Fund year-end September (~$937 Billion) has accelerated some selling (T+2).
The question is where do we go from here. Fear the CS weekend stories or look beyond what has happened already. “Delta” such as the corp buyback will reverse soon…