Archives » short term

Correlation | July 27, 2017

Posted on July 27, 2017

Correlations among asset classes increased over the short term, which may indicate a renewed strength in macro issues likely stemming from broad based signaling of increased rates. While rates didn’t move very much over the past week, we think the overall range of trading will signal to markets what sort of macro events are driving […]

Correlation | July 19, 2017

Posted on July 19, 2017

Near-term and long-term correlations are converging, but are still below historical averages. As a result, we think there are many potential options for positive performance through the selection of risk-diversifying assets and individual names. In short, we still see this as a stock picker’s market. The correlation figure measures how each asset return moves in […]

Momentum | July 18, 2017

Posted on July 18, 2017

Our Observations: Nearly every asset class is close to 0 in near-term returns, indicating that the market continues to be in a state of confusion. A strong push in emerging markets helped reverse the course of near-term momentum. When combined with strong long-term momentum, emerging markets appear to maintain their position as leaders among stocks. Momentum […]

Volatility | July 13, 2017

Posted on July 13, 2017

Our Observations: Short-term and near-term volatility are nearly at parity in every asset class. We think we may be entering a period that is usually weak for stocks, where the increase in volatility might simply be an acknowledgement of that case. However, as of right now we still see there is very little evidence supporting the […]

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 […]

Volatility | June 29, 2017

Posted on June 29, 2017

Our Observations: Short-term volatility is nearing long-term volatility, which is consistent to a sideways market. We think it is important to keep an eye on shifts in volatility which could coincide with a shift in momentum and help affirm market direction. Market volatility is an indicator of financial stress. Low or declining volatility environments may […]