Value Stocks vs. Low Volatility Stocks
Value Stocks vs. Low Volatility Stocks Chart showing the large divergence between value stocks and low volatility stocks, like never before. Image: J.P. Morgan
Search Results for: low volatility
S&P 500 Low Volatility Stocks Are the Best Performing Asset YTD
S&P 500 Low Volatility Stocks Are the Best Performing Asset YTD This chart shows that S&P 500 low volatility stocks are the best performing asset year-to-date (outside of GSCI energy). Actually, high-quality stocks are a good way to protect against a weak economy. Image: Goldman Sachs Global Investment Research
Heightened Correlations to U.S. Treasury Implied Volatility (MOVE) Followed by Higher Yields
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
Volatility Divergence – VIX vs. MOVE
Volatility Divergence – VIX vs. MOVE When MOVE is below the 50th percentile and VIX is above the 80th percentile, the average annualized S&P 500 price performance has been close to +21% compared to just over +7% the rest of the time. Image: Bloomberg
Global FX Volatility
Global FX Volatility In the current environment of low inflation and low interest rates, volatility in foreign exchange markets hits record low. Image: BofA Global Investment Strategy
Inflation and S&P 500 6-Month Realised Volatility
Inflation and S&P 500 6-Month Realised Volatility Since 1987, the S&P 500 6-month realised volatility has been the lowest, when U.S. CPI growth has been in the 2 to 3 per cent range. Image: Societe Generale Cross Asset Research
S&P 500 Volatility by Decade
S&P 500 Volatility by Decade Volatility ended this decade at a lower level than the previous decade. Image: Reuters
EUR/USD One Year Historical Volatility (U.S. Dollar and Euro)
EUR/USD One Year Historical Volatility (U.S. Dollar and Euro) 2019 is a record low volatility in EUR/USD since 1999. Image: Oxford Economics, Macrobond
S&P 500 Realized Volatility by Year
S&P 500 Realized Volatility by Year 2020 volatility estimate of 14.7 is above the median, but below the mean (data from January 1929 to December 2019). Image: Goldman Sachs Global Investment Research
U.S. Treasuries Volatility Curve
U.S. Treasuries Volatility Curve Short-term periods of inversion have been followed by higher U.S. Treasuries yields and tighter credit spreads. Image: Arbor Research & Trading LLC