The Epsilon Theory Archive

“History doesn’t repeat itself, but it often rhymes.” Mark Twain said that, or Abraham Lincoln depending on what corner of the internet you find yourself on any given day. Likewise, there are common themes, topics and subjects that run throughout the Epsilon Theory archive. All of our writing is categorized, tagged and organized to be easily accessible, but beware: your search for truth on one matter may very well lead you down any number of rabbit holes (and we hope that it does).

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note

Most investors think that fundamentals are sound. Most investors think that other investors think that last week's correction was about vol-selling, vol-targeting and algos run amok. But neither of those is the real story. The real story is that everybody knows that everybody knows that inflation will change the way portfolios are built and managed. Read more »

quant

Current volatility is approaching the long-term volatility numbers. Read more »

quant

Changes in the risk environment followed no particular pattern. Read more »

quant

It appears that the appetite for risky assets has returned after the minor sell-off in April. Read more »

quant

Volatility increased in nearly every asset class as near-term volatility approached long-term volatility. Read more »

quant

We think the volatility in rates is indicative of increasing risks of all types of credit sectors. Read more »

quant

Volatility continues to be somewhat muted across all asset classes. Read more »

quant

Lower rates and continued outperformance of lower volatility sectors may still point toward a correction in stocks. Read more »

quant

Treasurys break out of the trading range they've held all year. Read more »

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