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

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

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

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