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Market Uncertainty

A collection of 118 issues

Blog: The MOVE Index is not what it seems

The MOVE index is widely misunderstood. It's based on the implied volatility of a 20/20/40/20 combination of 2,5,10 and 30 year treasuries and then translated into basis points. But most still interpret it like the VIX. When the MOVE is high, it means

Blog: The Fractal Market Hypothesis in Action

Bloomberg recently featured an article titled “Lockstep Stock Market is Forcing Everyone to be a Macro Trader.”1 The article noted that the correlation across stocks has increased substantially. Markets seem to be less concerned about individual stock stories than about the overall economy and its effect on all stocks.

Blog: The two PMIs and the Fed

The Purchasing Managers Index (PMI) is a measure of manufacturing activity that has become widely followed in the last five years or so. I’ve used PMI data in research for some time, though. I’ve always liked the PMI, because it gives us a view of the economy from

Blog: Fed Policy-Is the "neutral rate" a myth?

The Fed and other central banks have now stated that they are raising rates to remove “accommodation.” Basically, they want to stop stimulating the economy and go to the much sought after neutral rate, which balances growth/employment and inflation. But what is this neutral rate? How will they know

Blog: When a Recession is not a "Recession"

In my last post, I noted that the definition of a recession is not as precise as people think. The rule of thumb is two quarters of negative GDP growth. Yet, the decline in 2020 only lasted two months, March and April. So what gives? The two quarter definition is

Blog: What's the yield curve telling us?

There is much discussion about the inverted yield curve and what it means. Many are saying that an inverted yield curve, where short-term rates are higher than long-term rates, “always” precedes a recession. This bit of market lore, though, depends on a lot of basic definitions that are not often

Blog: Correction or Bear Market-The quantification of jargon

When I first entered the investment business in 1978, the use of quantitative techniques was the lunatic fringe of investing. Those of us who used these methods wanted to change the world, and we did. Now, even “traditional” managers use what would have been considered quant techniques in the 1970s