S&P 500 – Fundamental Factors Volatility

S&P 500 – Fundamental Factors Volatility The chart shows factor volatility at its highest level since 2016. Picture source: Goldman Sachs Global Investment Research

President Trump Tweets Contribute to Volatility

President Trump Tweets Contribute to Volatility On days when President Trump tweets more than usual, the U.S. stock market tends to fall on average by 9bp. Picture source: BofA Merrill Lynch

U.S. Nominal GDP vs. S&P 500 Volatility

U.S. Nominal GDP vs. S&P 500 Volatility This chart shows that the S&P 500 volatility remains high in a context of slower macroeconomic cycles. Picture source: Goldman Sachs Global Investment Research

S&P 500 1-Month Realised Volatility History

S&P 500 1-Month Realised Volatility History This chart shows that the last 90 years have been split equally between high, low and normal volatility regimes. Picture source: Goldman Sachs Global Investment Research

U.S. Equity Volatility and Global Economic Policy Uncertainty

U.S. Equity Volatility and Global Economic Policy Uncertainty The chart shows that U.S. equity volatility does not mirror global economic policy uncertainty since 2009, perhaps due to strong central bank support. Picture source: Pictet Wealth Management

Volatility Across All Asset Classes

Volatility Across All Asset Classes This chart shows the current high correlation of implied volatility across all asset classes to U.S. Treasuries (MOVE). Picture source: Arbor Research & Trading LLC

Equity Volatility vs. Equity Allocation

Equity Volatility vs. Equity Allocation As equity volatility rises (inverted on the chart), equity allocations come down. You may alos like “The Yield Curve Leads VIX (Volatility) by Three Years.” Picture Source: Deutsche Bank