Core Viewpoint - Goldman Sachs warns that as September, historically the worst-performing month for U.S. stocks, approaches, a key support for the market—systematic demand—has nearly dried up, indicating that the market will face significant challenges this month [1][2]. Group 1: Seasonal Trends and CTA Impact - September has been recognized as a month of "seasonal panic," with the S&P 500 historically showing an average return of -1.17% since 1928, and the latter half of the month being particularly poor with an average return of -1.38% [2][3]. - The buying power of CTA funds, which have been significant drivers of market gains in recent months, has been exhausted, with their U.S. stock positions reaching a full 100% [3][4]. - CTA funds' purchasing power has dropped sharply from $27.66 billion in July to $12.56 billion in August, with expectations of only $2.96 billion in purchases for the entire month of September [3][5]. Group 2: Downside Risks and Institutional Positioning - If the market enters a downward trend, CTA funds may be forced to liquidate positions, potentially selling $22.25 billion in global stocks within a week, including $4.84 billion in U.S. stocks [4]. - In a more severe downturn, CTA models could lead to a massive sell-off of up to $217.92 billion in global stocks, with $73.69 billion attributed to U.S. stocks [5][6]. - Institutional investors have been net sellers of U.S. stocks for two consecutive months, reflecting a cautious stance as September approaches [7][10]. Group 3: Market Dynamics and Fund Flows - Despite recent market rebounds, Goldman Sachs' sentiment indicators remain negative, suggesting that overall positioning is still relatively balanced, with most investors having room to increase their positions [8][12]. - Hedge funds have shown a significant shift towards emerging markets, particularly Chinese assets, with net inflows into these markets exceeding historical averages [14][15]. - Retail investors remain active in individual stock trading but continue to funnel funds into passive investment vehicles like ETFs, leading to a divergence between active and passive fund flows [16][17]. Group 4: Market Stabilizers and Volatility - The internal structure of the market provides stabilizing forces, with dealers in a record long gamma position, which helps absorb market volatility by buying during downturns and selling during upswings [19]. - The low correlation among stocks indicates a highly differentiated market, moving away from a "Beta market" to an "Alpha market" where selective stock picking is essential for profitability [19]. - Implied volatility for the S&P 500 is at a near-year low, making options pricing extremely attractive for hedging against potential market movements [19].

Core Viewpoint - Goldman Sachs warns that the CTA (Commodity Trading Advisor) positions have reached a 100% full position status, indicating a lack of supportive capital inflow for the historically weak month of September in the U.S. stock market [1][3][4] Group 1: Market Conditions - September is historically the worst-performing month for the S&P 500, with an average return of -1.17%, and the latter half of the month shows even worse performance with an average return of -1.38% [4] - The purchasing power of CTA funds has significantly decreased from $27.66 billion in July to $12.56 billion in August, with expectations of only $2.96 billion in purchases for the entire month of September [5] - If the market enters a downward trend, CTA funds may be forced to liquidate positions, potentially selling $22.25 billion in global stocks within a week, including $4.84 billion in U.S. stocks [6] Group 2: Investor Sentiment - Institutional investors have been net sellers of U.S. stocks for two consecutive months and are cautious about September, despite recent market rebounds [9] - The net leverage ratio of hedge funds remains below the year-to-date high, indicating a lack of strong directional bets [10] Group 3: Market Dynamics - There is a significant rotation of hedge fund capital into emerging markets, particularly in Chinese assets, with net inflows into emerging markets exceeding three standard deviations above the past ten-year average [11][12] - Retail investors are increasingly active in individual stock trading but continue to favor passive funds like ETFs, leading to a divergence between active and passive fund flows [13] - The amount of funds flowing into U.S. money market funds is 16.5 times that of stock funds, highlighting a "cash is king" sentiment despite the S&P index rising [14] Group 4: Market Stabilizers - The internal market structure provides stabilizing forces, with dealers in a record long gamma state, which helps absorb market volatility [15] - The low correlation among stocks indicates a shift to an "Alpha market," where selective stock picking is essential for profitability [15] - The implied volatility of the S&P 500 is at a near-year low, making options pricing extremely cheap, which is advantageous for hedging against potential market events in September [15]