S&P 500 Momentum Index / S&P 500 Low Volatility Index Momentum stocks are outpacing low volatility stocks. Are investors concerned of higher market fragility? Image: Morgan Stanley Wealth Management
High Beta Relative to Low Volatility and Growth vs. Value The 2020 peak for Growth vs. Value does not equal the 2000 peak. Image: BofA Global Research Click the Image to Enlarge
Value Stocks – ISM Manufacturing New Orders Index vs. S&P 500 High Beta Index/S&P 500 Low Volatility Index Value stocks should benefit from an economic rebound, as the ISM Manufacturing New Orders Index is at a 17-year high. Image: Morgan Stanley Wealth Management
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 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
VIX – Volatility Index Seasonality of Spikes from Prior Month Low into Current Month Peak Historically, May-July tends to see decreased risk of VIX spikes. Image: BofA Global Research
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 – VIX/MOVE Ratio The VIX/MOVE ratio is back to pre-COVID lows. Image: The Daily Shot
Average Probability S&P 500 Volatility Regime The probability of a low volatility regime has decreased. Image: Goldman Sachs Global Investment Research
Volatility – Daily S&P 500 Closing Change > 1% or < -1% The S&P 500 Total Return has gained 18.40% in 2020, despite above average volatility. Image: Ken Fisher, Fisher Investments