Search Results for: MOVE

Peak to Trough Equity Move Around Past Recessions Historically, the average move in the S&P 500 from peak to trough around past recessions is -32%. Image: J.P. Morgan

Volatility – Number of Days with >3% S&P 500 Moves over a 15 Trading Day Window The S&P 500’s volatility is similar to the Great Financial Crisis and the Great Depression. Image: Deutsche Bank Asset Allocation

S&P 500 Post-Crisis Movement This chart compares the coronavirus impact on U.S. equities with past shocks. The impact looks more like the Lehman Brothers collapse. Image: The Conference Board

Coronavirus – Equity Market Moves and Past Virus Outbreaks The chart shows past virus outbreaks, highlighting the S&P 500, Stoxx 600, Hang Seng and MSCI World. Image: Nordea and Macrobond

Correlation Between VIX and MOVE The rolling one-year correlation between VIX and MOVE is at the highest level on record. Image: Arbor Research & Trading LLC

VIX and MOVE Rolling Correlation Periods of high correlation between safe and risk assets are generally not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC

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

Heightened Correlations to U.S. Treasury Implied Volatility (MOVE) Followed by Higher Yields This chart suggests that balanced portfolios could suffer as U.S. Treasury yields generally rise after heightened correlation. Image: Arbor Research & Trading LLC

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

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. The term premium is the risk premium (or the bonus) that investors receive for the risk of owning longer-term bonds. Image: Longview Economics, Macrobond