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Volatility | September 22, 2017

Posted on September 22, 2017

Short and long-term volatility are in parity, except in emerging markets.  We think the decline in short-term risk for EM signals that the strong bull market fit this region of the world is continuing and should not be not ending any time soon. Market volatility is an indicator of financial stress. Low or declining volatility […]

Correlation | September 21, 2017

Posted on September 21, 2017

We think the declining correlation across all markets signals a fading macro theme related to rates and inflation. Current data shows some signs of inflation but has yet to establish itself as a macro theme. The correlation figure measures how each asset return moves in relationship to the broader basket of asset returns listed on […]

Momentum | September 20, 2017

Posted on September 20, 2017

Short-term momentum continues to show little movement, but long-term is still in line with a bull market. This is consistent with current market conditions and recent new highs and we think could signal the end of the recent pull back in risk asset prices. Momentum measures the rate of acceleration, either positive or negative, in […]

Income Report Card | September 19, 2017

Posted on September 19, 2017

The 10-year Treasury yield rose sharply to 2.20% as the market digested the retirement of Fed Vice Chair, Stanley Fischer. Markets also rebounded from their September selloff, setting a possible return to the bull market that has marked most of this year. See the data

Volatility | September 14, 2017

Posted on September 14, 2017

Market volatility is still in parity across long and short-term horizons, but is still generally below long term averages. We think the absence of a large jump in volatility is supportive of riskier assets such as stocks and credit. Market volatility is an indicator of financial stress. Low or declining volatility environments may indicate favorable […]

Correlation | September 13, 2017

Posted on September 13, 2017

Long and short-term correlation are more or less in parity with each other, signifying no particular push toward any single macro theme. We think the decrease in rates and the general belief that rates will stay lower for longer after Fed Vice Chair, Stanley Fischer’s exit will likely start to emerge as a major theme. […]

Momentum | September 12, 2017

Posted on September 12, 2017

Very little has changed as far as momentum is concerned. There does appear to be some strength in energy, metals, and foreign developed currencies. However, this past Monday the S&P 500 and the MSCI Emerging Markets Index achieved new all-time highs, albeit on low volume. This coincides with year-to-date lows for Treasurys fueled by the […]

Income Report Card | September 11, 2017

Posted on September 11, 2017

The 10-year Treasury ended the week at a year to date low of 2.05%, setting the rate just above pre-election levels. At this point it appears that Fed Vice Chair, Stanley Fischer’s resignation and the list of potential new Fed chairs is shifting the market away from hawkish rate positions. While rates might not rise […]