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Commodities Weekly Sentiment Tracker

Note: Using the z-score in the tables below as a coefficient of variation for standard error helps us flag the relative market positioning of the commodities in the CRB Index. It is not intended as a predictive signal for the reversion to trailing twelve month historical averages. For week-end price data, please refer to “Commodities: Weekly Quant” published at the end of the previous week. Feel free to ping us for additional color.




1.       CFTC Net Futures and Options Positioning CRB Index: The Commodities Futures Trading Commission (CFTC) releases “Commitments of Traders Reports” at 3:30 p.m. Eastern Time on Friday. The release usually includes data from the previous Tuesday (Net Positions as of Tuesday Close), and includes the net positions of “non-commercial” futures and options participants. A “Non-Commercial” market participant is defined as a “speculator.” We observe the weekly marginal changes in the overall positioning of “non-commercial” futures and options positions to assess the directionally-biased capitulation risk among those with large, speculative positions.

  • The COTTON, WHEAT, and, COCOA markets experienced the most BULLISH relative positioning changes week-over-week
  • The SOYBEANS, ORANGE JUICE, and SUGAR markets experienced the most BEARISH relative positioning changes week-over-week

Commodities Weekly Sentiment Tracker - chart1 sentiment


Commodities Weekly Sentiment Tracker - chart1A


2.       Spot – Second Month Spread: Measures the market expectation for forward looking prices in the near-term.

  • The RBOB GASOLINE, LEAN HOGS, and COFFEE markets are positioned for HIGHER PRICES near-term
  • The LIVE CATTLE, HEATING OIL, and ORANGE JUICE markets are positioned for LOWER PRICES near-term

Commodities Weekly Sentiment Tracker - chart2 spot 2nd month basis



3.       Spot – 1 Year Spread: Measures the market expectation for forward-looking prices between spot and the respective contract expiring 1-year later.

  • The NATURAL GAS, WTI CRUDE OIL, and, LEAN HOGS  markets are positioned for HIGHER PRICES in 1-year  
  • The LIVE CATTLE, COCOA, and SOYBEANS markets are positioned for LOWER PRICES in 1-year  

Commodities Weekly Sentiment Tracker - chart3 spot 1yr basis



4.       Open Interest: Aggregate open interest measures the amount of opened positions in all actively traded futures contract months. Open interest can be thought of as “naked” or “directionally-biased” contracts as opposed to hedgers scalping and providing liquidity. Most of the open interest is created from large speculators or participants who are either: 1) Producers/sellers of the physical commodity hedging their cash market exposure or 2) Large speculators who are directionally-biased on price.


Commodities Weekly Sentiment Tracker - chart4 open interest


Ben Ryan




  • $8-10m charge as a result of CEO transition and fulfillment of Fritz's agreement. 
  • No disagreements in corporate strategy. The change is on execution.
  • Confident 2015 expectations will be met
  • Will sell $3bn assets by 2016
  • Accelerate pipeline/footprint growth and will manage balance sheet
  • Affirm 1Q and 2015 FY EBITDA guidance and  $300-$350m share repurchase and $250m in quarterly dividends in 2015.

Q & A

  • Decision was made over the weekend
  • Formed a search committee. No timeline set.
  • #1 goal:  drive top-line growth 
  • Did you explore other strategic alternatives for the company? 
    • Want to deliver value to shareholders
  • Could do better:  Net rooms growth for 2015; 2015 EBITDA targets put out
  • Not as strong in mid-priced point segment.  Aloft/Four Points are a step in that direction but their competitors have a much bigger presence.
  • Time share spinoff nothing to do with this development
  • Aron:  Will keep outside directorship at NCLH
  • Will evaluate possible HQ move to India in the next few days

EVENT: YELP Best Idea SHORT Update Call

Takeaway: Join us on Friday, February 20th at 1:00pm EST

We will be hosting an update call to our SHORT thesis on YELP.  In short, YELP's business model is broken; we're already seeing signs of deterioration, which will only get worse in 2015.


Join us on Friday, February 20th at 1:00pm EST as we update our bearish thesis and why we see an additional 25%+ downside from here.




  • Extreme Attrition Rate: majority of customers are churning off annually.
  • Insufficient TAM: YP.com is not the low-hanging fruit, it's a pipe dream.
  • Model Breaking Down: YELP’s reported metrics flagging concerning trends.
  • 2015/2016 Consensus Estimates Unattainable: Barring another ill-advised acquisition.  



Participant Dialing Information will be provided Friday morning.




Hesham Shaaban, CFA


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ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest

Takeaway: Fund flows continue to be defensive. On average, investors contributed +$1.9 billion more to fixed income than equity in each week of 2015.

Editor's note: This note was originally published February 12, 2015 at 11:19 in Financials. For more information on our services click here.

Investment Company Institute Mutual Fund Data and ETF Money Flow:


Fund flows continue to be defensive in 2015.  Net money flow, the sum of total equity mutual funds and ETFs against total bond mutual funds and ETFs, has remained negative for all of 2015 as equity ETFs have been losing ground.  Equity ETFs lost another -$4.5 billion in the 5 days ending February 4th, now totaling -$18.4 billion so far in 2015. On average, investors have contributed +$1.9 billion more to fixed income than equity in each week of 2015.  Additionally, investors have pulled -$26.2 billion (-12%) from the SPY year to date, favoring the defensive GLD and TLT funds.  GLD has taken in +$2.4 billion (+9%) with the 20 year Treasury ETF (TLT) taking in +$1.2 billion ( or +19%) in 2015.


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 1


In the most recent 5 day period ending February 4th, total equity mutual funds put up net inflows of +$4.2 billion according to the Investment Company Institute, outpacing the year-to-date weekly average inflow of +$1.5 billion and the 2014 average inflow of +$620 million. The inflow was composed of international stock fund contributions of +$704 million and domestic stock fund contributions of +$3.5 billion. Last week was the third consecutive week where domestic equity funds outpaced international stock funds, a counter trend from a major theme last year (where international funds substantially outpaced domestic). International equity funds have had positive flows in 48 of the last 52 weeks while domestic equity funds have had only 16 weeks of positive flows over the same time period.


Fixed income mutual funds put up inflows of +$3.2 billion, outpacing their year-to-date weekly average inflow of +$2.1 billion and their 2014 average inflow of +$929 million. The inflow was composed of +$2.3 billion of contributions to taxable funds and +$963 million of contributions to tax-free or municipal bond funds.  Munis have had a solid run with subscriptions in 51 of the last 52 weeks.


Equity ETFs lost -$4.5 billion via redemptions, trailing both the year-to-date weekly average outflow of -$3.7 billion and the 2014 weekly average inflow of +$3.2 billion. Fixed income ETFs took in +$9.7 billion, outpacing the year-to-date weekly average inflow of +$3.1 billion and outpacing the 2014 weekly average inflow of +$1.0 billion.


Mutual fund flow data is collected weekly from the Investment Company Institute (ICI) and represents a survey of 95% of the investment management industry's mutual fund assets. Mutual fund data largely reflects the actions of retail investors. Exchange traded fund (ETF) information is extracted from Bloomberg and is matched to the same weekly reporting schedule as the ICI mutual fund data. According to industry leader Blackrock (BLK), U.S. ETF participation is 60% institutional investors and 40% retail investors.   


Most Recent 12 Week Flow in Millions by Mutual Fund Product: Chart data is the most recent 12 weeks from the ICI mutual fund survey and includes the weekly average for 2014 and the weekly quarter-to-date average for 1Q 2015:


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 2


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 3


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 4


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 5


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 6



Most Recent 12 Week Flow Within Equity and Fixed Income Exchange Traded Funds: Chart data is the most recent 12 weeks from Bloomberg's ETF database (matched to the Wednesday to Wednesday reporting format of the ICI), the weekly average for 2014, and the weekly quarter-to-date average for 1Q 2015. In the third table are the results of the weekly flows into and out of the major market and sector SPDRs:


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 7


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 8


Sector and Asset Class Weekly ETF and Year-to-Date Results: In sector SPDR call-outs, as energy stocks have been moving upward since their mid-January low, investors have followed with contributions into the XLE Energy ETF; in the 5-day period ending February 4th, investors contributed +$1.3 billion to the XLE, an +11% gain.  The XLY Consumer Discretionary ETF experienced the largest percentage withdrawal for the week (-8%) as investors continued to reign in levered bets on the U.S. Consumer.  That also makes the XLY the biggest loser for the year to date at -14% in flows.


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - Fixed ICI 9



Net Results:

The net of total equity mutual fund and ETF flows against total bond mutual fund and ETF flows totaled a negative -$13.2 billion spread for the week (-$277 million of total equity outflow versus the +$12.9 billion inflow to fixed income; positive numbers imply greater money flow to stocks; negative numbers imply greater money flow to bonds). The 52 week moving average has been +$1.9 billion (more positive money flow to equities), with a 52 week high of +$27.9 billion (more positive money flow to equities) and a 52 week low of -$15.5 billion (negative numbers imply more positive money flow to bonds for the week). 


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - ICI 10


Exposures: The weekly data herein is important for the public asset managers with trends in mutual funds and ETFs impacting the companies with the following estimated revenue impact:


ICI Fund Flow Survey: On the Defensive - 5 for 5 Weeks of Stronger Fixed Income Interest - ICI 11 



Jonathan Casteleyn, CFA, CMT 




Joshua Steiner, CFA








Recent Notes

02/09/15 Monday Mashup: CAKE, PNRA and More

02/12/15 CAKE: A Troubled Concept

02/13/15 Elevating Some Shorts

Events This Week

Tuesday, February 17th

  • QSR earnings call 8:30am EST
  • PBPB earnings call 5:00pm EST

Wednesday, February 18th

  • JACK earnings call 11:30am EST
  • DENN earnings call 4:30pm EST
  • BJRI earnings call 5:00pm EST

Thursday, February 19th

  • DAVE earnings call 8:30am EST
  • BLMN earnings call 9:00am EST
  • FRGI earnings call 4:30pm EST
  • NDLS earnings call 4:30pm EST





Recent News Flow

Monday, February 9th

  • BWLD downgraded to hold at Miller Tabak with a $193 PT.
  • MCD reported January global comps of -1.8% vs 1.1% consensus estimate.
  • WEN announced it is bringing back its North Pacific Cod Sandwich for a limited-time at participating Wendy’s restaurants.

Wednesday, February 11th

  • BJRI announced the opening of its newest restaurant in Slidell, Louisiana.  The 7,400 square ft. restaurant seats approximately 225 guests.
  • DFRG announced the appointment of two new regional managers.  Sabrina Scully has been named Dallas Fort Worth Regional Manager and Nick D’Ambrosio has been named the Northeast Regional Manager.

Thursday, February 12th

  • CMG announced the preliminary lineup for its Cultivate Festival Series: “Cultivate Phoenix will be held on Saturday, April 18, at West World in Scottsdale; Cultivate Kansas City is on Saturday, July 18, in Penn Valley Park; and Cultivate Minneapolis is on Saturday, August 22, in Loring Park.”


Sector Performance

The XLY (+2.7%) outperformed the SPX (+2.0%) last week.




Quantitative Setup

From a quantitative prospective, the XLY remains bullish on an intermediate-term TREND duration.



Casual Dining Restaurants




Quick Service Restaurants



LEISURE LETTER (02/17/2015)



  • Feb 17: HOT Conference Call on leadership change. 9:00am
  • Feb 17: MGM 4Q CC 11:00am
    • ; pw: 8870181
  • Feb 18: 
    • HYATT 4Q CC 11:30am
      • ; PW: 62845475
    • MAR 4Q release 5pm
  • Feb 19:
    • HST 4Q CC 9:00am
    • MAR 4Q CC 10:00am
      • ; pw: 41025602
  • Feb 24: GENTING 4Q CC 4:30am
  • Feb 25: 
    • SJM 4Q CC 6:00am
    • Prestige analyst day (9:00am-12pm)
  • Feb 26: RHP 4Q CC 10:00am


HOT- HOT Starwood Hotels announces CEO Frits van Paasschen to resign; Director Adam Aron appointed interim CEO. Aron will act as CEO on an interim basis while the board conducts a search for a permanent CEO that will include both internal and external candidates. van Paasschen will continue with Starwood as a consultant to assist in the transition.

Article HERE

Takeaway: Surprising development.  


BYD - The Borgata is holding a free-throw basketball tournament March 21. The $10,000 tournament has a buy-in of $20 and will consist of three rounds that are 90 seconds each. The games fall under the New Jersey First Initiative to create new gambling products ahead of other states. Borgata COO Tom Balance said the tournament is the start of the Borgata using social and skill-based gaming to target a new generation of players.

Article HERE

Takeaway:  Will skill-based slots come next?


MGM China announced a special bonus to non-management team members at MGM Macau.  The release did not specify how many workers were eligible for the payment, nor the aggregate amount involved. MGM China said only that the special bonus equals to one month’s salary and shall be paid in July 2015.  


The special bonus follows the “annual discretionary bonus" announced earlier this month, the company said, adding that non-management employees will have received total bonus equal to two months’ salary for 2014.

Article HERE

Takeaway:  2nd month bonus handed out to MGM China employees


LVS  - says it will build a $4.5 billion casino in Busan, South Korea if the government allows nationals to gamble there.  LVS has support of Busan Mayor Suh Byuing-soo.

Article HERE

Takeaway:  A long shot for LVS since it's unlikely govt will lift the local exemption. 


OPAP  - OPAP plans to open approximately 660 Play gaming halls with approximately 25 machines each, adding up to a total of 16,500 VLTs. The Agency holds licenses for 35,000 machines, but the remaining 18,500 VLTs will be provided to a series of selected subcontractors

Article HERE

Takeaway:  We have been waiting for Greece for a while. Keep an eye on how this plays out.


CCL - Carnival Cruise Line has launched a search for a new chief financial officer to succeed Anne Bramman, who is leaving after four years.

Article HERE

Takeaway:  We had just met Anne at the Vista event.


RCL - For bookings made starting Valentine’s Day through March 10, Royal Caribbean International's 'BOGO Wild' offer shaves 50% off the second passenger's cruise fare and gives on-board spending credit up to $200 per stateroom. The offer applies to bookings for an ocean-view or higher category. Plus, there are extra deals for cruises in Europe, where Royal Caribbean has eight ships sailing this summer and autumn including Anthem of the Seas and Allure of the Seas.

Article HERE


CCL - Princess Cruises’ 'Denali on Sale' offers fares as low as $99 per day with a refundable deposit. Alaska land and sea vacations combine a seven-day 'Voyage of the Glaciers' cruise including Glacier Bay National Park with a three- to eight-day land tour. The tours provide stays at Princess Wilderness Lodges and scenic rail service to the Denali area with Mount McKinley, North America’s tallest peak.

Article HERE




The Macau police forecast that the number of people crossing the border over the Lunar New Year holidays this year will be between 3-5% greater than last year.    

Article HERE




Las Vegas – Floyd Mayweather and Manny Pacquiao reportedly have finally agreed to a $250 million fight at the MGM Grand in Las Vegas.  

Article HERE

Takeaway:  Hasn't been set in stone yet but would be a positive for MGM if it happens.

Pennsylvania -  The state might consider VLTs in liquor-licensed establishments. The state’s Amusement and Music Machine Association is lobbying the House Gaming Oversight Committee to pass a bill legalizing the machines. The games could generate $1.4 billion a year which would be $500 million a year in tax money, association lobbyist John Milliron told the committee. A similar bill is already being debated in the Indiana legislature. 

Article HERE


Washington -   The gaming board has endorsed the proposal to allow Indian casinos to increase their number of slot machines by 10 percent. The proposal would allow the 27 tribes to add a total of 2,700 slot machines. They are near their current 28,000 allotment. The agreement must still be approved by the governor and legislature.


China January new home prices (0.4%) m/m vs (0.4%) in December

Annualized (5.1%) y/y vs (4.3%) in December


Singapore GDP - grew an annualized 4.9% QoQ in 4Q . That compares with a January estimate of a 1.6% gain and the median forecast of 2.2% in a Bloomberg News survey of 13 economists.


Hedgeye Macro Team remains negative Europe, their bottom-up, qualitative analysis (Growth/Inflation/Policy framework) indicates that the Eurozone is setting up to enter the ugly Quad4 in Q4 (equating to growth decelerates and inflation decelerates) = Europe Slowing.

Takeaway:  European pricing has been a tailwind for CCL and RCL but a negative pivot here looks increasingly likely in 2015.