Data Diary

Credit spreads continue to shrink, yet the VIX refuses to follow. Perhaps, the Fed’s current POMOs are just enough to encourage fixed interest investors to push down the risk curve. With low volumes in equities, the indexes can follow. But this just makes for an even more nervous market. In the absence of a categoric [...]

We have been following a simple gameplan that says buy risk when the government is stimulating and sell when the stimulus effects begin to fade. The key barometers for this view have been various leading economic indicators (ECRI, OECD etc). These have been weakening for some months (latest OECD here) with the markets trading sideways [...]

The inside-out market is one that wants you to be bullish at the top and bearish at the bottom. It hurts those that succumb to the sirens’ call. We can see the swings in mood in our risk appetite index – that has whipsawed back and forth and, in the absence of a near term [...]

Once again the timely injection of central bank liquidity has stemmed the flight of the bulls.  The ECB has been busy funding scary debt from Spain and Greece at par, while the US Fed has done its bit by reinstating currency swap lines. The reflexive rally is now in full swing and can be seen [...]

With price action getting downright nasty, thought we might try to put it into the context of recent history. When Lehman’s officially waved the flag on 15 September 2008, with the market already well below its highs, it was the catalyst for the wholesale dumping of stock – whether it was leveraged equities or otherwise. [...]

The mighty Australian dollar has taken a pasting over the last week.  We had been keeping an eye on the AUDYEN cross as a measure of the carry trade (here and here).  Would be reasonable to assume that the unwind is in full swing now – see Bloomberg (here): In this context, it’s interesting to [...]

Risk appetite has beat a hasty retreat over recent weeks (it’s come a long way – see our recent snapshots here and here).  It’s unlikely to push further without some fresh impetus. Suggest then that a pause is likely with good odds of some sort of retracement. 1) Elevated volumes are generally followed by a period of [...]

While we are waiting for the dust to settle…the stalling of the rally in equities markets, the continued pressure on the euro, and the new highs in gold, all suggest that this bailout package is different from it’s US forebears.  Why is my $1 trillion different from yours? United States of America is a single [...]

Government’s fat fingered mitt has Adam Smith banging on his coffin lid.  Europe’s latest venture into the great wealth transfer from taxpayers to bank shareholders is, as Hugh Hendry puts it, “the end of the beginning”. Still with another ~$1 trillion in the kitty, does that mean the cyclical bull is back on? The equities [...]

The current selloff has the market staggering.  Unlike previous tick-downs in the rally since March 2009, fear is making a comeback.  Our measures of relative risk appetite have broken out.  It’s reason to tread carefully cause until we get some signs of normalisation, further downside is more likely than not: The evidence that it’s a [...]