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…

Liquidity in U.S. Equity Futures

Liquidity in U.S. Equity Futures Liquidity in U.S. equity futures collapsed in early 2018. It has remained at very low levels. Keep in mind that the lack of liquidity could lead to violent market moves. Picture source: Deutsche Bank

Global Manufacturing PMI and MSCI World Index

Global Manufacturing PMI and MSCI World Index The chart shows a pretty good correlation between Global Manufacturing PMI and the MSCI World Index. Stocks and PMI tend to move together. Picture source: Charles Schwab

When Treasury Inflation-Protected Securities (TIPS) Outperform?​

When Treasury Inflation-Protected Securities (TIPS) Outperform? The chart shows that Treasury Inflation-Protected Securities (TIPS) usually outperform regular Treasuries when the 10-year breakeven inflation rate is below 2%. The 10-year breakeven inflation rate is a market-based measure of expected inflation over the next 10 years. Picture source: Movement Capital LLC

U.S. Recession Probabilities Over the Next Year from the Yield Curve

U.S. Recession Probabilities Over the Next Year from the Yield Curve Deutsche Bank has calculated the U.S. recession probabilities over the next year, using the slope of various yield curves. PCA (Principal Component Analysis) is used to estimate the effects of yield curve movements. Picture source: Deutsche Bank

Earnings Matter, Over the Long Run

Earnings Matter, Over the Long Run Over the long run, equities move with earnings. Currently, there is a big gap between U.S. and Europe earnings. As Warren Buffett said: “for 240 years, it’s been a terrible mistake to bet against America.” You may also like “Global Earnings since 2006.” Picture source: Cullen Roche