The VP Research Blog

A blog about financial markets and the VP investing framework

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...

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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...

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There’s Something About the Term Premium

Historically, investors have required extra yield to hold longer-term bonds instead of short-term securities to compensate them for the added uncertainty. Thus, in a “normal” world, term premium (TP) should not be persistently negative. Yet, since 2016, TP has been...

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FX Vol Still Attractive

Since news of coronavirus first spread, markets have struck a decisively risk-off tone with higher yielding currencies selling-off. Commodity currencies and Asian markets have been particularly hard hit. Despite the fresh bout of FX weakness, implied vol has been...

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Another Yield Curve Red Herring

After first inverting last year, the 3m10y yield curve recently re-inverted, prompting the usual slew of mechanical recession predictions. However, not all inversions are equal. The top-left chart shows that almost all of the YTD decline in 10y yields is from the fall...

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