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Market Uncertainty

A collection of 96 issues

Blog: Is the VIX Broken? Nope.

Recently I’ve read some market commentators declare the VIX1 “broken" as a fear index because it’s not always down when the market is up and up when the market is down. I’ve heard this story several times over the years, but the only time the VIX

Blog: Groundhog Day (not the movie!) for the market

Aspiring market pundit, Punxsutawney Phil, saw his shadow on Thursday, forecasting 6 more weeks of winter for the northeastern US, and a potential bear market. While there is no evidence that Phil, or any other groundhog has forecasting power, the media continue to follow the ritual as a matter of

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.