Institutional Insights: Goldman Sachs - SP500 Positioning and Key Levels 15/04/25
SP500 Positioning and Key Levels
FICC and Equities
14 April 2025
Below is a consolidated recap of various GS positioning metrics:
Summary:
1. CTA Corner:
Systematic macro global equity positioning is nearing historically low or short levels. Currently, at $128 billion long, it entered Friday with a score of 2.4 out of 10. It is expected to decrease to 0.8 out of 10 within the next week if conditions remain unchanged. Beyond this period, the baseline is relatively neutral.
2. GS PB:
The GS Equity Fundamental Long/Short Performance Estimate declined by 2.40% between April 4 and April 10, compared to a 3.10% drop in the MSCI World TR. This was driven by a beta of -1.49% and, to a lesser extent, an alpha of -0.91%, primarily due to losses on the long side. The GS Equity Systematic Long/Short Performance Estimate fell by 1.10% during the same period, with a beta of -0.97% and an alpha of -0.13%, as long side losses surpassed short side gains.
3. Buybacks:
Our flows ended slightly higher last week, reaching 1.3 times the 2024 Year-To-Date Average Daily Trading Volume (ADTV) and 2.0 times the 2023 YTD ADTV. At the start of the week, when the broader market was lower, corporate 10b5-1 plans were purchasing larger volumes at those levels.
4. Charts in Focus:
Key indicators include the Sentiment Indicator, US Panic Index, Risk Appetite Indicator, SPX vs. Singles Skew, Call Skew vs. Put Skew, S&P Futures Liquidity, and Funding Spreads vs. S&P 500.
CTA Flows:
CTAs are currently modeled to be short $55 billion in global equities, including $31 billion in the US. Over the next week and month, they are expected to be buyers of US equities in all scenarios:
- Next 1 week:
- Flat market: $17 billion to sell ($5 billion SPX to buy)
- Rising market: $10 billion to sell ($7.4 billion SPX to buy)
- Falling market: $24 billion to sell ($3 billion SPX to buy)
- Next 1 month:
- Flat market: $1.4 billion to buy ($11 billion SPX to buy)
- Rising market: $67 billion to buy ($23 billion SPX to buy)
- Falling market: $9.7 billion to sell ($8.5 billion SPX to buy)
Key SPX Pivot Levels:
- Short-term: 5651
- Medium-term: 5804
- Long-term: 5479
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Patrick has been involved in the financial markets for well over a decade as a self-educated professional trader and money manager. Flitting between the roles of market commentator, analyst and mentor, Patrick has improved the technical skills and psychological stance of literally hundreds of traders – coaching them to become savvy market operators!