Early Warning Signal – An indicator for potential large short-term moves
Investor Positioning – Active positioning indicators
Narrative Radars – A ML model to identify key market drivers and index/sector deviations
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Overview of positioning and market risk indicators
Early Warning signal (slides 3-6)
Active manager equity positioning (slides 7-12)
Narrative Radar for MSCI ACWI, S&P 500, & STOXX 600 (slides 13-30)
US buybacks/dividends (slides 31-33)
Early Warning signal
S&P 500 vs Early Warning Signal (-1.3 stdev)
Early Warning Signal: model probabilities
Model probabilities of a >+5% and <-5%
move in the next one month
Model implied probability of low return
regime (1m fwd returns between +/-5%)
Breakdown of drivers of early warning signal
Drivers of signal reading:
Current level
Drivers of signal reading:
1 week change
Active manager equity positioning
Active manager positioning
US composite beta positioning
US active manager positioning
across fund types
Positioning across investor fund types
Size and style mutual fund positioning
Global active manager positioning
Non US equity mutual fund positioning
Global active manager positioning
Non US asset allocation fund positioning
Equity indices: CFTC futures and options net speculative positioning
Equities net positioning
VIX net positioning
Narrative Radar – MSCI ACWI
Narrative Radar: What’s Driving MSCI ACWI?
Drivers of ACWI market returns based on
machine learning model
ACWI vs machine learning
model prediction
Narrative Radar: What’s Driving ACWI relative industry returns?
Drivers of ACWI relative
industry returns
Industry group actual vs machine learning model expected relative performance
Narrative Radar: Model contributions – MSCI ACWI
Drivers of ACWI YTD returns
Narrative Radar: IG Fan charts – MSCI ACWI
Narrative Radar – S&P 500
Narrative Radar: What’s Driving S&P 500?
Drivers of S&P 500 market returns based on
machine learning model
S&P 500 vs machine learning
model prediction
Narrative Radar: What’s Driving S&P 500 relative industry returns?
Drivers of S&P 500 relative
industry returns
Industry group actual vs machine learning model expected relative performance
Narrative Radar: Model contributions – S&P 500
Drivers of S&P 500 YTD returns
Narrative Radar: IG Fan charts – S&P 500
Narrative Radar: Factor Fan charts – S&P 500
Narrative Radar – STOXX 600
Narrative Radar: What’s Driving STOXX 600?
Drivers of STOXX 600 market returns based on machine learning model
STOXX 600 vs machine learning
model prediction
Narrative Radar: What’s Driving STOXX 600 relative industry returns?
Drivers of STOXX 600 relative
industry returns
Industry group actual vs machine learning model expected relative performance
Narrative Radar: Model contributions – STOXX 600
Drivers of STOXX 600 YTD returns
Narrative Radar: IG Fan charts – STOXX 600
Narrative Radar: European Country Fan charts
Narrative Radar: Factor Fan charts – STOXX 600
US Corporate buybacks/dividends
Corporate flow: S&P 500 net buybacks plus dividends
Corporate liquidity signal (rolling 5d, with forecast)
S&P 500 net buybacks+dividends
Buyback announcements and buyback yield
Buyback announcements (YTD vs average)
S&P 500 net buyback yield
Appendix - Model explanations