Performance – Percentage Point Difference between S&P 500 and Equal-Weighted S&P 500 Annual Price Moves The outperformance of the S&P 500 vs. the S&P 500 equal-weighted is the biggest since 1999. Image: Deutsche Bank
Average Movements in 2s10s Slope Around U.S. Recessions Historically, when the U.S. 2s10s yield curve has been inverted by more than -100bps, a U.S. recession is currently happening or will happen within 8 months. Is it different this time? Image: Deutsche Bank
MOVE Index vs. S&P 500 Equal-Weighted It is important for investors to monitor the level of volatility in U.S. rates, which can have a major impact on U.S. equities. Image: Deutsche Bank Asset Allocation
Treasury Volatility – MOVE Index U.S. rates volatility has cooled significantly in recent months. Image: BofA Global Investment Strategy
Volatility – MOVE Index U.S. Treasury bond market volatility is still elevated, despite some improvement. Image: Morgan Stanley Research
S&P 500 vs. MOVE Index Does the S&P 500 rally have further to go if bond volatility continues to fall? Image: Deutsche Bank Asset Allocation
Median S&P 500 Index Move Around Last Fed Hike Historically, the S&P 500 Index’s median return exceeds 5% about 22 weeks after the final Fed hike. Image: Morgan Stanley Wealth Management
U.S. Treasury Liquidity and MOVE Indices Will U.S. Treasury liquidity continue to deteriorate? Image: BofA Global Research
Volatility – VIX/MOVE Ratio The VIX/MOVE ratio is back to pre-COVID lows. Image: The Daily Shot
Bond Volatility – MOVE Index U.S. Treasury bond market volatility is soaring, as the risk of a U.S. recession is rising. Image: The Daily Shot