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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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

Short-term correlations have risen, likely indicating a strengthening macro environment for rates and inflation. Read more »

quant

Correlation across asset classes remain unchanged from last week, but are still lower than they have been in recent months. Read more »

quant

Correlation declined a bit across most asset classes, which is contrary to the building macro strength for increased inflation and increased rates.  Read more »

quant

Correlations moved higher over the week, we think this is likely indicating strength of macro events such as increased rates and increased pressure on inflation. Read more »

quant

Momentum

Short-term stock momentum is picking up, as in energy and metal commodities, while developed country bonds are slipping.  Read more »

quant

The 10-year Treasury closed the week at 2.47%, moving higher in the first week of trading. Read more »

quant

Correlations fell over the past few weeks in nearly every asset class, however this may be a seasonal impact. Read more »

quant

The 10-year Treasury ended the year at 2.40%, far away from the 2017 low of 2.05%. Read more »

quant

Correlation

Correlations are rising slightly, likely due to the impact of tax reform and the increase in rates. Read more »

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