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Market Uncertainty

A collection of 94 issues

Blog: Is "risk appetite" growing, or are investors just feeling lucky?

Implied volatility measures have been falling pretty dramatically. As usual the press is saying “risk appetite” is growing. But what does that mean? It sounds like the media is saying investor's desire to take risk is higher today. Which must mean they're feeling luckier today than

Blog: Will the real inflation rate stand up?

One characteristic of our times is a surplus of data. When I started out, data was hard to come by, particularly timely data. This was true for money managers, economists, and central bankers. Now we may have too much data. So much it’s hard to see what's

Blog: 2023 - What could go wrong?

Blog: The Fractal Market Hypothesis remains in force as "everything moves in tandem"

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