Daily Archives: Oct 19, 2017 at 07:02 am EST

Low Volatility In Everything

A rising number of investors are anxious about the “bull market in everything”, but the markets are calm, based on rolling 90-day volatility (standard deviation). It may be the calm before the storm, although research on volatility clustering suggests that the tranquil times can roll on for longer than expected. The tide will turn eventually, of course, and perhaps soon, but the rear-view mirror at the moment shows that the landscape is unusually serene across the board for the major asset classes in recent history, based on a set of exchange-traded products via rolling 90-day standard deviation of one-day percentage returns.
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Macro Briefing: 19 October 2017

China’s Q3 GDP growth rate ticks lower at 6.8% vs. year earlier: RTT
Spain set to impose direct rule on Catalonia on Saturday: Reuters
Year-ahead US inflation expectations tick down to 1.8% pace: Atlanta Fed
Dallas Fed chief: lower 10-year Treasury yield may be a warning sign: Reuters
US housing construction slows in September: HousingWire
Conservatives campaign against Yellen’s reappointment to Fed: Bloomberg
Treasury Secretary says stocks wil fall sharply without tax reform: LA Times
A new milestone for the Dow Jones Industrials: closing above 23,000: Reuters