Margin debt. Leverage on the way up, forced selling on the way down; peaks have coincided with market tops.
What to watch: FINRA margin statistics. It arrives monthly, and the effect typically lasts months.
It sits in tier 3 — Flows and mechanics: Moves prices without changing anything fundamental, on horizons from hours to weeks. Who is forced to buy or sell, and when. Ignore this tier and market moves will regularly look inexplicable.
Its neighbourhood
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Dials it feeds
This factor is one input to a composite reading on the Analytics page.
Also in Positioning, sentiment, and fund flows
- Implied volatility (VIX)
- Put/call ratio
- Retail investor sentiment (AAII)
- Fund manager survey (BofA)
- Active manager exposure (NAAIM)
- Fear and greed composites
- Fund flows
- Short interest
- CTA and trend-following positioning
- Volatility-control and risk-parity funds
- Dealer gamma positioning
- Foreign investor flows
- Sovereign wealth funds and pension allocation
- Retail trading activity
- Crypto markets
- ESG and thematic fund flows
- Pension funding status
- Retail options and leveraged ETF flows
- Market breadth
- Factor and style rotation