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Correlation | April 26, 2017

Posted on April 26, 2017

Our Observations: Short-term correlations have been declining in nearly every segment of the market. This move is breaking up the somewhat lopsided market that had been driven by interest rates and inflation expectations and provides a potential opportunity for diversification. One of the more notable changes has been the decrease in correlations for U.S. bonds […]

Volatility | April 13, 2017

Posted on April 13, 2017

Our Observations: Short-term volatility (as measured by 22 days) increased in most assets, but certain stocks assets and metals are approaching their longer-term averages. We think rising volatility along with declining short-term momentum is a relatively strong signal of a bumpy road ahead, especially for risky assets such as stocks and commodities. Market volatility is […]

Correlation | April 12, 2017

Posted on April 12, 2017

Our Observations: Nearly every asset class has experienced an increase in short-term correlation (22 days), and many have risen above their long-term averages. We think this is proof of how interest rate expectations and inflation are driving near-term returns and why it is important to keep an eye on the trading pattern of interest rates. […]

Volatility | April 7, 2017

Posted on April 7, 2017

Our Observations:  Market volatility is an indicator of financial stress. Low or declining volatility environments may indicate favorable periods for equity investments, whereas rising volatility periods may favor sovereign debt and developed market currency exposure. Currently, near-term volatility (22 days) is below long run (12 months) in nearly every asset class, underscoring what has been […]

Correlation | April 6, 2017

Posted on April 6, 2017

Our Observations: The correlation figure measures how each asset return moves in relationship to the broader basket of asset returns listed on the X axis. When correlations are high or rising, it may indicate that economic movements and sentiment are driving the majority of returns, which could potentially make security selection challenging. In recent months, we […]

Momentum | April 5, 2017

Posted on April 5, 2017

Our Observations: Momentum measures the rate of acceleration, either positive or negative, in a security’s price and may indicate which markets are positioned for gains or losses. Investing based on momentum entails establishing long positions in securities with positive recent returns and short positions in those with negative recent returns. Momentum in asset classes may […]