U.S. 10Y-2Y Yield Curve vs. U.S. Excess Liquidity (Leading Indicator) U.S. excess liquidity tends to lead the U.S. 10Y-2Y yield curve by 9 months. Image: Variant Perception Research
Single Stock Liquidity Single stock liquidity is improving since March, but remains below average levels. Image: Goldman Sachs
S&P 500 E-mini Futures Market Depth (Liquidity) S&P 500 E-mini futures market liquidity is improving, but remains below average levels. Image: Goldman Sachs Global Investment Research
Excess Liquidity and S&P 500 Performance Is the relationship between excess liquidity and S&P 500 performance fading? Image: Deutsche Bank
Returns – G7 + China Free Liquidity and MSCI ACWI (Leading Indicator) When free liquidity is above 10%, equity markets tend to perform well: the average next 12-month returns is 23.4% with a hit ratio of 100% since 2009. Image: BofA Global Research
U.S. Market Liquidity – 3-Day Rolling E-mini Future Median Top-of-Book Depth and Width U.S. market liquidity remains below average levels. Image: Goldman Sachs Global Investment Research
Stocks – U.S. Free Liquidity and MSCI USA YoY Should investors expect more upside for U.S. stocks, as U.S. free liquidity continues to rise? Image: BofA Global Research
U.S. Market Liquidity U.S. market liquidity has improved since March lows, but remains below average levels. Image: Goldman Sachs
Liquidity – Market Depth of S&P 500 E-mini Futures Chart showing the sharp decline in equity market depth. Lack of liquidity tends to lead to violent market moves. Image: J.P. Morgan
S&P 500 Cumulative Price Return vs. Model Based Solely on Investment Flows and Market Liquidity The analysis from Goldman Sachs suggests that the S&P 500 has underperformed liquidity-adjusted investment flows. Image: Goldman Sachs Global Investment Research