Reports on a note from Goldman Sachs on Monday (US time) on the prospects for US equities to rally over the next four weeks:
- pain trade for equities is higher
- cite trend-following rule-based systematic funds have shifted from $450 billion long in July to $250 billion long currently and are in the process of re-leveraging
- and, further, potential 'green sweep' for commodity trading advisers (CTAs) could result in significant stock buying activity regardless of market direction
- traders are positioned long gamma again
- and, even more, equities underpinned by corporate buybacks ($6.62 billion in daily purchasing power until the corporate blackout period ends on September 13)
