High Yield Credit Spread and Move Index

High Yield Credit Spread and Move Index Does higher rate credit volatility imply a widening of high-yield spreads? Picture source: Quill Intelligence, LLC

VIX and MOVE Correlation

VIX and MOVE Correlation Periods of high correlation between VIX and MOVE are not good for balanced portfolios, because diversification is hard to find. Picture source: Arbor Research & Trading LLC

MOVE vs. Treasury Term Premium

MOVE vs. Treasury Term Premium This chart shows the nice correlation between MOVE (implied volatility of U.S. Treasury markets) and the Treasury term premium. Picture source: Longview Economics, Macrobond

Investor Movement Index vs. S&P 500

Investor Movement Index vs. S&P 500 The Investor Movement Index indicates the sentiment of TD Ameritrade retail investors. Thus, retail investors are net buyers of equities when the stock market is expensive, and they are net sellers of equities when the stock market is cheap. As usual, retail investors react to equity price movements. They buy and sell…

Flows into Money Market Funds

Flows into Money Market Funds Just like 2007/2008, investors move to safe assets by raising their cash holdings, despite falling rates. Picture source: BofA Merrill Lynch

10Y-3M Yield Curve Inversion and S&P 500 Operating EPS

10Y-3M Yield Curve Inversion and S&P 500 Operating EPS The inversion of the yield curve between 3-month and 10-year Treasurys is not good news for S&P 500 operating EPS  (90D means 3-month T-bill). The 50 day moving average removes false signals since 1967. Picture source: Stifel

Equity Markets and QE

Equity Markets and QE Chart showing that equity markets tend to move higher during QE periods. Picture source: J.P. Morgan

U.S. Bond Yields and QE

Bond Yields and QE Chart showing that bond yields tend to move higher after QE starts. Picture source: J.P. Morgan