Trading Daily

North America

Market Commentary

Todays Highlights (J Mckeever/K Koenig/A Dash/R Cherry)

Printable Version:
.

Although its a (quiet) summer Friday today, we will be getting some

important jobs data at 8:30am that will likely set the tone for the rest of
the day. Economists are looking for the change in July Nonfarm Payrolls
to show +180k (vs +287K previously). The July Unemployment Rate is
widely expected to come in at 4.8% (vs 4.9% previously). Investors are
hoping to use todays employment data to help them make assumptions
about the Feds ability to (possibly) raise rates later this year. A reading
above 200k could boost confidence in a hike (at least once more in
2016) while a much lower reading could lower confidence. Traders are
not currently pricing in a hike at the September meeting. The June
Trade Balance release (also at 8:30am) is expected to show a slight
decrease to -$43B (from -$41B). At 3pm, we will get the Jun
Consumer Credit release. US futures are indicating a slightly higher
opening. There arent any Fed speakers scheduled today.
The CS Global Financial Strategies team has published a new report,
Thirty Years. The world of investing and business has seen a great
deal of change in the past 30 years. This report shares thoughts on the
ten attributes of great fundamental investors. Accounting is the
language of business and you need to understand it to appreciate
economic value and to assess competitive positioning. Investors face a
slew of psychological challenges. Perhaps the most difficult is updating
the beliefs when new information arrives. Position sizing and portfolio
construction still do not get the attention they warrant. The substantial
shift from active to passive management has profound implications for
the investment industry.

Friday, August 05, 2016

MARKET UPDATE
NY Time: 7:47 AM

STOCKS
Americas:
Dow (Fut)
S&P500 (Fut)

% Chg

Level

Status

0.14% 18298.0
0.16% 2162.8

(Opn)
(Opn)

0.38%
0.04%

2936.0
6692.5

(Opn)
(Opn)

0.00% 16254.5
1.44% 22146.1

(Clsd)
(Clsd)

Europe:

EuroStoxx50 (Fut)
FTSE 100 (Fut)
Asia:

Nikkei 225
HangSeng
OPTIONS
VIX (Index)
BONDS
3 Mth Yld
2 Yr Yld
10 Yr Yld
FX
Euro
Pound
Aussie
Yen
COMMODITIES
Oil
Gold

-0.25 pts

12.17

(Opn)

0.00%
0.01%
0.00%

0.25%
0.65%
1.50%

(Opn)
(Opn)
(Opn)

% Chg vs USD

$-
$-
$-
$-

0.25%
1.116
0.51%
1.317
0.41%
0.766
0.14% 101.080

-0.76%
41.61
0.07% 1362.05
Source: Bloomberg

Source: Bloomberg

Index Changes Today

SPX: AAL US (Downweight, -0.009%. -5.2m shares to sell = 0.4 days)
SPX: FCX US (Upweight, 0.005%. 8.4m shares to buy = 0.2 days)

Source: Bloomberg

Page 1 of 3

Daily US Volume vs S&P Index

Volume
S&P 500

2200

2050
2000

27-Jul

13-Jul

29-Jun

15-Jun

1-Jun

18-May

4-May

1950

S&P Price Level

2150
2100

20-Apr

Economic Statistic/Event
Consensus
Prior
US Trade Balance of Goods and Services SA
-43.0B
-41.1B
US Employees on Nonfarm Payrolls Total MoM Net Change SA
180.0K
287.0K
Net Revisions to Nonfarm Payrolls
-6.0
US Employees on Nonfarm Payrolls Total Private MoM Net Change 171.0K
SA
265.0K
US Employees on Nonfarm Payrolls Manufacturing Industry Monthly Net
Change SA
4.0
14.0
U-3 US Unemployment Rate Total in Labor Force Seasonally Adjusted4.8%
4.9%
US Average Hourly Earnings All Employees Total Private Monthly Percentage
Change
0.2%
0.1%
US Average Hourly Earnings All Employees Total Private Yearly Percent
Change 2.6%
SA
2.6%
US Average Weekly Hours All Employees Total Private SA
34.4
34.4
US Employment Total in Labor Force Net Change SA
67.0
US Labor Force Participation Rate SA
62.7%
US U-6 Unemployed & Part Time & Margin % Labor Force & Margin SA9.6%
Federal Reserve Consumer Credit Total Net Change SA
16.0B
18.6B

16
14
12
10
8
6
4
2
-

6-Apr

Time
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
8:30 AM
3:00 PM

Shares (Billions)

Todays Economic Announcements:

1900

Source: Bloomberg

US Trading Daily
5 August 2016

Chart of the Day: Pity Party (Mark Connors)

Short performance segmented by Manager Count

Short perform ance segm ented by m anager count

The Top 100 Shorts generated 30 bps of outperformance in

July from a small cohort of UNDER owned exposures
highlighting profit headwinds for popular shorts.

50.0%
45.0%
40.0%

Calibrating Popular: The graph at right illustrates the short

outperformance relative to the S&P 500 based on manager
count. The 5.9% outperformance from the first quartile
(these names lost -2.4% vs. the S&P 500s +3.6% gain in
July) accounted for over 90% of weighted outperformance
across the quartiles.

35.0%
30.0%

Weighted Relative Performance of

the Top 100 Shorts in July

Percent of Total Exposure w/in the

Top 100 Shorts

25.0%

20.0%
15.0%

Energy, Financials and Consumer staples accounted for

the majority of under owned, outperforming names found in
the 1st quartile of manager count. As the red bars at right
illustrate, manager count segmentation closely mirrored
exposure allocation.

10.0%

5.9%

5.0%

0.2%

0.0%
-5.0%

1st Quartile

2nd Quartile

3rd Quartile

-0.2%

4th Quartile

-1.1%

Source: Credit Suisse Prime Services

Delta One (John Penney)

ETF Desk Color (Sources: Bloom berg, CS MarketSnap)

Activity on our desk was 61% to buy and institutions were 56% of our flows

Institutions were buying Japan (EWJ) and Russia (RSX); selling Large Cap (SPY via ETF Nitro, IVV)

Hedge funds were selling Industrials (XLI), Low Volatility (USMV) and Real Estate (IYR) via ETF Nitro; buying Large Cap
(QQQ).

Yesterdays Fund Flows (Sources: Bloom berg)

Equities inflows rebounded yesterday, led by Energy (XLE +$311mm, XOP +$110mm) and Industrials (XLI +$115mm)

High Yield had a reversal yesterday (HYG +$136mm, JNK +$72mm) snapping a 9-day losing streak

Gold inflows continued for the sixth straight day (GLD +$156mm, IAU +$33mm)

More outflows from Europe ETFs (IEV -$42mm, DBEU US Equity)

Convertibles (CWB +$95mm) had their biggest day of inflows ever.

Question of the Day

Today: What percentage of the penny is actually comprised of copper?

Previous Day: The hammer, anvil, and stirrup are parts of the body located where?
Answer: The ear. They comprise the middle-ear bones through which sound vibrations travel

Contributors and Contacts

Trading Strategy

Delta One Trading

Victor Lin

415-836-7643

victor.lin@credit-suisse.com

Josh Lukeman

} 212-325-3205

josh.lukeman@credit-suisse.com

Ana Avramovic

212-325-2438

ana.avramovic@credit-suisse.com

Justin Bojarski

justin.bojarski@credit-suisse.com

Meera Krishnan

212 325 5613

meera.krishnan@credit-suisse.com

Rob Bernstone

212-325-3205

robert.bernstone@credit-suisse.com

Michael Strongin

212-325-3205

michael.strongin@credit-suisse.com

Justin Waluch

212-325-3205

justin.waluch@credit-suisse.com

212-325-7421

john.dwyer@credit-suisse.com

212-325-5227

tim.scanlon@credit-suisse.com

Program Trading Sales

Futures

James Mckeever

james.mckeever@credit-suisse.com

Kevin Koenig

} 212-325-7764

kevin.koenig@credit-suisse.com

John Dwyer

Aunrie Dash

aunrie.dash@credit-suisse.com

Derivative Sales

Ron Cherry

ron.cherry@credit-suisse.com

Tim Scanlon

Page 2 of 3

US Trading Daily
5 August 2016

Special Situations
Tom Bruno

Interest Rates
212-325-3684

tom.bruno@credit-suisse.com

Praveen Korapaty

212-325-3427

praveen.korapaty@credit-suisse.com

Cash
Laura Prostic

212-325-2147

laura.prostic@credit-suisse.com

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