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Volatility | May 25, 2017

Posted on May 25, 2017

Market volatility is mixed across various segments of the market. However, short-term volatility is largely below long-term volatility, which supports the bullish case for riskier assets such as stocks and bonds. While volatility did increase in many parts of the market, it still remains muted and therefore isn’t indicating any immediate changes in market condition. […]

Correlation | May 24, 2017

Posted on May 24, 2017

Our Observations: Stocks, bonds and currencies are exhibiting correlations in the short term that are well below long-term correlations. This is an environment that should offer the opportunity for potential excess return. We think emerging market stocks and currencies may offer the opportunity to lower overall portfolio risk while potentially harvesting better returns. The correlation […]

Momentum | May 16, 2017

Posted on May 16, 2017

Our Observations: We think this week is a textbook illustration of a risk on market. The biggest gainers were in the emerging markets and Japan while long-dated bonds in Europe and the U.S. were among the biggest losers. It appears that the fears of a larger sell-off have subsided and many investors are preferring to […]

Correlation | May 10, 2017

Posted on May 10, 2017

Our Observations: Nearly every asset class had short-term correlations much closer to long-term correlations. We think this will assist in portfolio construction as the diversification benefits of cross asset portfolios should improve. The best example is the return of negative correlation for bonds, which is historically a strong indication that rate policy may not be the primary […]

Momentum | May 9, 2017

Posted on May 9, 2017

Our Observations: Short-term momentum continued to reverse from earlier lows but has yet to reach new highs, leaving the market vulnerable to a correction. Energy and metal commodities have reversed sharply to the downside as result of several economic indicators showing higher supplies and slowing inflation. Given this mixed picture, we think it is prudent to remain cautious […]

Correlation | May 3, 2017

Posted on May 3, 2017

Our Observations: Short-term correlations in bonds have gone negative, indicating that bonds are once again acting as the standard diversifiers to the basket. We think this is a good sign and may indicate a breakdown in policy-driven markets. The correlation figure measures how each asset return moves in relationship to the broader basket of asset […]

Momentum | May 2, 2017

Posted on May 2, 2017

Our Observations: Short-term momentum in stocks flipped from negative to positive over the past week. We think this could be a signal that the recent correction has ended and the long-term upward trend has resumed. This is confirmed by the recent pullback in bonds, resulting in the assets barely holding onto positive momentum in the […]