With the help of the Russell rebalance, 16.4 billion shares traded across all US equities exchanges on Friday (roughly 50% higher than the ytd daily average of 11.2BN shares). On a netted basis, the overall reconstitution was just under $50BN a side with the largest inflows into Healthcare and Fins coming at the expense of Communication Services and Consumer Discretionary.
According to Goldman's John Flood, "mutual funds were VERY active with us on Friday’s close as they took advantage of the rebalance and used it as a liquidity event." Looking ahead, the current set up for the 5 remaining trading sessions of the first half is challenging as liquidity and volumes will dry up dramatically this week with the major rebals now behind us.
More importantly, as we discussed last week, the corporate blackout window is in full effect, there is some meaningful quarter-end pension related supply, and the consequences of the Prigozhin/Putin drama will likely remain front and center. As such, Flood is watching for continued pressure on the market this week "with caveat that the market is trading and will continue to trade at a much higher range than most of us previously anticipated." In terms of macro datapoints this week, the Eurozone CPI for June and the US PCE for May (both on Friday) are the most important.
