Time, Diversification and the Volatility of Returns

Time, Diversification and the Volatility of Returns This chart shows how the volatility of returns decreases over time (range of equity, bond and blended total return). Picture Source: J.P. Morgan Asset Management

The Yield Curve Leads Volatility by Three Years

The Yield Curve Leads Volatility by Three Years Is more volatility expected ahead? Yes, most likely. The CBOE Volatility Index or VIX usually follows the U.S. 10-year vs. 3-month Treasury spread (inverted) with a 3-year lag. See also “VIX is in a Transitory State.” Picture source: ClearBridge Investments

S&P 500 1-Year Volatility vs. EPS Revisions

S&P 500 1-Year Volatility vs. EPS Revisions This chart from SG shows a good correlation between earning revisions and the S&P 500 1-year volatility. See also “S&P 500 1-Month Volatility History Since 1928 and VIX Since 1990.” Picture source: Societe Generale

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. Picture source: Goldman Sachs Global Investment Research

US GDP Growth – Realized Volatility

US GDP Growth – Realized Volatility This chart shows that realized volatility of US GDP growth is very low today. It’s also good for the volatility of financial markets. Picture source: Jeroen Blokland