12 Years of VP vs Noise
Sharing the ideas and experiences that have influenced our work
Bear Market Rallies – A Historical Context
There have been five major bear markets in the S&P since the Depression, with each one experiencing rallies along the way that turned out to be false dawns. Each of these rallies felt real at the time, and there was a solid belief that the bad news that caused the...
Volatility Risk Premia and Market Bottoms [VIDEO]
In this video, recorded Friday April, 17th, we highlight some interesting things we've seen in the market, but stick to our overall framework on market bottoms.
What CDS Markets are Discounting
While equities and commodities have collapsed, alongside widening corporate credit spreads, sovereign CDS have not reacted to the coronavirus crisis as might be expected. CDS spreads have widened, but current spreads pale in comparison to the 2008 financial crisis...
Identifying the End of the Recession and Market Bottoms [VIDEO]
In this video recorded on April 3rd, we discuss the various reports we have published over the past few weeks: Recessions and Shocks, Bear Markets, Market Bottoms, and our Leading Indicator Watch report.
The Perfect Storm for Oil is Far From Clearing
Oil prices surged at the end of last week off the back of President Trump’s tweet that signalled production cuts had been agreed with Saudi Arabia and Russia. Despite the +40% move, Brent is still down 50% on the year. Longer-dated futures contracts haven’t reacted to...
Recessions and Shocks [VIDEO]
The coronavirus pandemic is a highly unusual circumstance, and in several ways we are in uncharted waters. Two weeks ago we published a thematic report titled Recessions and Shocks In which we applied our tools, our signals and our outsider approach to: distinguish...
US Consumer Will not be Coming to the Economy’s Rescue
The latest print from the University of Michigan consumer sentiment survey has shown a fall of almost 12 points, the largest drop since 2008, and takes us back to 2016 levels. Unlike the last three recessions, which had seen consumer sentiment fall into each one...
Narrative Shift Depends on Virus
Earlier this month, the S&P and gold both collapsed on the same trading day, which is extremely rare. The top-left chart shows that in the past 20 years, the only times gold was down more than 3% while the S&P is down more than 5% was last week and back in...
USD Funding Stresses Rise But This is Not Like 2008
A common question in recent weeks is whether today is like 2008? The price action is certainly reminiscent of the wild intra-day swings in the stock market we saw back then, with the level of the VIX, which closed at 83.6 recently, greater than the previous all-time...