Nomura quants say it would not be surprising to see some fast-type traders looking for 'cooldown' risks on US stocks
- Nomura quants say March NFP was not a driver of stocks on Friday, which maintained its upward momentum: "Major trend-following algos such as CTAs and Risk Parity maintained their buying stance, while the majority of discretionary investors – such as global macro HFs and equity L/S funds – remained prudent." But the bank notes that CTAs prefered short-covering on Russell 2000 futures, the pace of adding long S&P500 and NASDAQ100 futures positions seems to have slowed, according to Nomura’s real-time estimates, and the bank reminds us that tracking whether the slowing of stock buying by CTAs is a temporary phenomenon is important for gauging market direction.
- Nomura notes though that the US stock market sentiment index is already approaching the upper bound of +2 standard deviations from its one-year rolling average. "Given the current US stock market suggests a euphoric mood, it would not be surprising to see some fast-type participants may be watching 'cooldown' risks to some extent on US stocks," and adds that "frictions between bullish and prudent market participants should be assumed towards ~2,900 of S&P500," in the bank's view.
08 Apr 2019 - 12:51- Research Sheet- Source: Nomura
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