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Volatility | July 7, 2017

Posted on July 7, 2017

Long- and short-term volatility are converging as the markets continue to grind sideways. The most notable movement this week is the sharp reversal in agriculture commodities from the drought. Agriculture commodities are some of the few assets seeing short-term volatility surpass long-term volatility. Market volatility is an indicator of financial stress. Low or declining volatility […]

Momentum | July 5, 2017

Posted on July 5, 2017

Short-term momentum continues to grind sideways in nearly every asset class except for energy, which continues to fall, and agriculture, which appears to be moving higher. Long-term momentum for stocks are still far into the positive double digits, which bodes well for risk assets going forward. As positive economic news continues to trickle in, we think […]

Momentum | June 20, 2017

Posted on June 20, 2017

Our Observations: Commodities continue to be under pressure. The Federal Open Market Committee (FOMC) indicated in its recent announcement that inflation was expected to fall below the targeted 2%, creating deflationary pressures throughout the global market. While this may have a negative impact on commodities, it has not translated into bad news for stocks, which essentially moved […]

Correlation | June 7, 2017

Posted on June 7, 2017

Correlation between stocks and bonds the increased, as a result of the similar direction of performance. The positive correlation between these two asset classes persists, indicating that rates are still a strong driver of returns. The correlation figure measures how each asset return moves in relationship to the broader basket of asset returns listed on […]

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. […]

Volatility | May 18, 2017

Posted on May 18, 2017

Our Observations: Changes in the risk environment followed no particular pattern. Certain markets like Korea and Hong Kong increased in volatility while most European markets and the U.S. experienced a slight decrease in volatility. In general, risk in stock markets appears to be muted while risk in bonds, currencies, and commodities approaches the long-term volatility […]

Volatility | May 11, 2017

Posted on May 11, 2017

Our Observations: Volatility increased in nearly every asset class as near-term volatility approached long-term volatility. Rising volatility tends to indicate a riskier environment for stocks and commodities, so we think this data adds to the consideration of a possible correction. We think it is prudent to keep an eye on volatility as extreme numbers could […]

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 […]