Selling risk intensifies; caution is advised for the future marketđ
All of this is happening in an environment where the market-weight SPX remains much stronger than its equal weighted brethren, suggesting that the average stock holder is performing much worse than the underlying index. In fact, a quick look across many popular momentum and vol monetization strategies have shown that they have all underperformed the SPX YTD, underlying how frustrating this year has been for most active money managers.
Finally, post the large September OPEX mid-month, the current SPX sell-off has put the market squarely into negative gamma territory, where vol-control funds appear vulnerable to some forced selling after piling into risk indiscriminately nearly all year. Furthermore, from a valuation perspective, the move higher in real rates has widened the gap with the SPX forward PE to the widest levels this year, and we continue to maintain our very cautious (negative) view on risk that we've had since the end of summer until further notice.
#MarketWeightSPX #EqualWeightedIndex #MomentumStrategies #NegativeGamma #VolControlFunds
