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Volatility | September 8, 2017

Posted on September 8, 2017

Volatility among many asset classes is starting to approach long term average levels. Barring any significant jump in risk, market volatility doesn’t yet signal a possibility for a major decline. As we have mentioned in other comments, it is prudent to take a more defensive position but this is likely just part of seasonal weakness. […]

Correlation | September 7, 2017

Posted on September 7, 2017

Correlations in nearly every asset continued to decline, indicating the weakening of macro forces particularly around rates and inflation. As of now, we think there is little indication that tax reform or infrastructure spending are on the near-term horizon, diminishing the chance of stronger inflationary forces. The correlation figure measures how each asset return moves […]

Momentum | September 6, 2017

Posted on September 6, 2017

Short-term momentum is close to zero in nearly every asset class outside of the commodity space. We think this reflects the general mood of the market as we enter the seasonally weak period for stocks and other risky assets. The S&P 500 failed to achieve a new high in the past week which appears to […]

Income Report Card | September 5, 2017

Posted on September 5, 2017

The 10-year Treasury closed at 2.16% before the long weekend, just off the year-to-date low last Thursday. For much of this year, we have discussed the trading range of rates that dominated the early part of the year (roughly 2.30% to 2.60%), followed by a new pattern (roughly 2.15% and 2.40%). For much of the […]

Volatility | August 31, 2017

Posted on August 31, 2017

Volatility remains near historic lows. We think this indicates that the current sell-off in stocks is likely a short correction within a bull market. Without a sharp rise in market risk, we believe you should look for new highs in stocks to indicate that the current sell-off is over. Market volatility is an indicator of […]

Correlation | August 30, 2017

Posted on August 30, 2017

Correlations have dropped across the board relieving some of the macro drivers that have been moving the market. If stocks can push to new highs we might see some of these macro drivers, such as inflation, reassert themselves. The correlation figure measures how each asset return moves in relationship to the broader basket of asset […]

Momentum | August 29, 2017

Posted on August 29, 2017

Short-term momentum continues to lag long-term momentum among stocks while most other asset classes show very little momentum in any direction. However, in recent weeks, metals have been rising and do appear to be moving into a strong bull market. Momentum measures the rate of acceleration, either positive or negative, in a security’s price and […]

Income Report Card | August 28, 2017

Posted on August 28, 2017

The 10-year Treasury finished last week at 2.19%, rising and falling by as much as 5 bps over the week. Stocks increased last week, shaking off the losses of the previous week. However global stocks are still below their high from earlier this month. Until they make a new high, we think the risk of […]