Category: Blog

Credit Spreads on High-Quality U.S. Corporates Credit spreads on high-quality U.S. corporates are widening and are flashing a warning sign for markets. Image: Gavekal, Macrobond

S&P 500 – 1987 vs. 2020 This chart compares the current decline with the 1987 crash. Image: Fidelity Investments

Consolidated Equity Positioning to the Lowest on Record Equities positioning are at their lowest level on record, as pessimistic investors price in recession risks. Image: Deutsche Bank Asset Allocation

S&P 500 Returns in Recessions since 1928 Currently, the S&P 500 is in the middle of the distribution of selloffs seen historically around previous recessions. Image: Deutsche Bank Asset Allocation

Liquidity and S&P 500 Liquidity in U.S. equity collapsed in early 2018 and remained at an extreme low. Lack of liquidity tends to lead to violent market moves. Image: Deutsche Bank Asset Allocation

S&P 500 Performance Around U.S. Recessions The performance of the S&P 500 around U.S. recessions is -30% on average. Image: Goldman Sachs Global Investment Research

Change in Fed Funds Rate The Fed has cut rates by 100 bps to 0.00-0.25%. This is the biggest rate cut in modern times. Image: Danske Research

Volatility – Number of Days with >3% S&P 500 Moves over a 15 Trading Day Window The S&P 500’s volatility is similar to the Great Financial Crisis and the Great Depression. Image: Deutsche Bank Asset Allocation

Rates and Equity Volatility (VIX) This chart highlights the significant and sudden spike in rates and equity volatility at 2008/2009 levels. Image: Deutsche Bank Global Research

S&P 500 and Number of Trading Sessions to Close Down 20% or More from a Peak The S&P 500 experiences its fastest fall into bear market in history. Image: Financial Times

S&P 500 vs. Corporate Profits After Tax The current divergence between the S&P 500 and corporate profits after tax is the widest on record. It is possible to close the gap “down” with a recession. Image: Real Investment Advice