Useful charts and data points gathered together by Morgan Stanley’s strategists in a report dated Feb 11. Their understanding is that the rise in real yields has been the real trigger of the spike in market volatility.
Deutsche Bank’s strategist team published a report to figure out what’s currently priced in by financial markets after the bout of volatility. Rising real yields are a clear threat to the rebound in equity market. But having recently talked to fund managers in other asset classes, real yields are a threat to many asset classes where lots of money have flown other the last years (EM debt for instance).
Here’s DB’s take on European equities:
Per SocGen’s real good quant team led by Andrew Lapthorne, « the use of the ‘Fear Index’ (VIX) as a predictor of future market performance has been rather mixed, with moves in VIX appearing more contemporaneous than forward looking. »
Well if VIX is not a great predictor of market returns what is ?
Le rebond actuel des marchés et l’exposition croissante des investisseurs aux actifs risqués se fait dans des conditions un peu inhabituelles, selon l’équipe d’allocation globale d’actifs de JPMorgan. Continuer la lecture de « Un rallye inhabituel… qui traduit surtout un manque de convictions »