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  • Correlation Between SPX and VIX
    Last week, many traders noticed that there was a divergence between SPX and VIX. It’s true if we look at the price series. Graph below shows the 20-day rolling correlation between SPX and VIX prices for the last year. We can see that the correlation has been positive lately.[caption id="attachment_327" align="aligncenter" width="564"] 20-day rolling correlation SPX-VIX prices, ending Jan 26 2018[/caption]However, if we look at the correlation between SPX daily returns and VIX changes, it? [...]
  • Correlation Breakdown
    The US equity market just reached new highs, and it broke many records.  For example, Bloomberg reported that the US market had not been overbought like this in 21 years.The S&P 500 Index’s superlative start to 2018 is making a contrarian technical indicator look silly. The benchmark gauge is poised to end trading Thursday with a 16th straight day in overbought territory, as judged by the Relative Strength Index. That would be the longest such run in more than two decades. A close abo [...]
  • Goldman Sachs Expressed Concerns About the Growth of Volatility Exchange Traded Products
    We have written about how the increase in popularity of VIX-related Exchange Traded Products could impact the financial market:Is Volatility of Volatility Increasing?What Caused the Increase in Volatility of Volatility?Recently, Goldman Sachs derivatives analyst Rocky Fishman expressed concerns regarding the impact of VIX ETPs positions on the markets.Fishman wrote to clients early Thursday morning that he has no concerns about the net number of shorts but is concerned about the impact a sudden [...]
  • BlackRock puts gunmakers on notice after Florida school shooting
  • U.S. fund investors creep back in to market: Lipper
  • For some, traumatic life jolts lead to profound, personal growth
  • Five ways millennial caregivers can find help
  • Norway's sovereign wealth fund buys 245 million pounds stake in UK's Shaftesbury
  • How matching money turbo-charges U.S. retirement savings
  • Bridgewater's Dalio sees 70 percent chance of recession before 2020
  • OPEC mulls a long-term alliance with Russia to keep oil prices stable
    OIL bears beware. On February 20th Suhail al-Mazrouei, OPEC’s rotating president and energy minister of the United Arab Emirates, said the 14-member producers’ group is working on a plan for a formal alliance with ten other petrostates, including Russia, aimed at propping up oil prices for the foreseeable future. If it comes to anything, it could be OPEC’s most ambitious venture in decades.The result will not be, he insists, a “supergroup”. The notion of Saudi Arabia and Russia joining forces as the Traveling Wilburys of the oil world may be a bit jarring. It remains an idea in “draft” form. But whatever its chances, it attempts to shift a belief widely held by participants in oil markets: that non-American oil producers are helpless against the shale revolution.That belief has strengthened because of a renewed flood of American shale production in the latter part of 2017 after prices of West Texas Intermediate climbed above $50 a barrel. The International Energy Agency...Continue reading
  • Economists cannot avoid making value judgments
    AMID the name-calling and bluster that mar many fights between economists are a few common tactics. Belligerents may attack the theory used to support a claim, or the data analysis used to quantify an effect. During the debate over President Donald Trump’s tax bill, to take a recent example, economists bickered over which side had more credibly calculated the economic effect. They did not, for the most part, argue about whether it was morally acceptable to pass a regressive tax reform after years of wage stagnation and rising inequality. To do so would strike many economists as entirely un-economist-like. Yet economics has not always been so shy about moral philosophy. As well as “The Wealth of Nations”, Adam Smith wrote a “Theory of Moral Sentiments”. Great 20th-century economists like Paul Samuelson and Kenneth Arrow also took questions of values very seriously. Their successors would do well to take several pages from their books.Modern economists have attempted...Continue reading
  • A banking centre seeks to reinvent itself
    ON A clear day, sunset over Lake Zug is magnificent. Snow-dusted mountains cut through the orange glow above and are mirrored in the lake below. “Zug is our spiritual home,” says Jeremy Epstein, from Washington, DC, who has just taken 40 foreigners to tour the small Swiss town south of Zurich. They came not for sunsets, though, but to find out how Zug has become known as “crypto-valley”—meaning the home of many firms dealing in crypto-currencies and related activities.Switzerland’s famous banking secrecy is falling to a global assault on money-laundering and tax evasion. But financial security remains in demand. The country should seek to become the “crypto-nation”, said the economy minister, Johann Schneider-Ammann, last month. Zug aims to be the capital of that nation.To that end, Switzerland is maintaining loose rules for crypto-businesses, even as other countries are tightening theirs. An industry is developing to store tangible crypto-assets, such as the hard...Continue reading
  • Snap, chatter and pop goes the share price
    KYLIE JENNER, a model and reality TV star best known for being the, er, second most famous Kylie in the world, managed to cause a stir on Wall Street. With this idiosyncratic tweetsooo does anyone else not open Snapchat any more? Or is it just me...ugh this is so sadshe knocked back the share price of Snap, the parent company of the video- and picture-sharing app. Ms Jenner’s influence in the target market is deemed to be huge; she has 24.5m Twitter followers, and her message has (at the time of writing) been retweeted 58,000 times and “liked” by 310,000. Snap’s share price fell 6%, reducing the company’s market value by $1.3bn. The decline was not just down to the influence of Ms Jenner, who recently gave birth to a daughter Stormi, named after the weather/porn star/grime artist. Investors were already worried about the impact of a recent app redesign. More than 1.2m people signed a...Continue reading
  • Protestantism might be good for the wallet, after all
    Spirit and fleshCAN religion make people wealthier? In 1905 Max Weber, a German sociologist, argued that it had happened in Europe. Protestants did not invent capitalism in the 16th century, he suggested. But, by discarding monastic asceticism and embracing the notion that diligence and self-improvement are pleasing to God, they became particularly good at it.Weber’s idea is unfashionable these days, partly because so many non-Protestant countries have become rich and partly because of a cause-and-effect problem. Were Protestants truly better at business, or were ambitious, business-minded people drawn to Protestantism? One way of settling that question is through a randomised controlled trial of religion. A National Bureau of Economic Research working paper released on February 19th reports on an experiment in the Philippines that suggests Weber was onto something.International Care Ministries (ICM), an evangelical charity, tries to help the...Continue reading
  • Changing the guard at HSBC
    YOU spend 38 years at a mighty global bank, the last seven as chief executive. As boss you clean up a stinking mess, the legacy of ill-conceived acquisitions and shoddy practice. You shell out billions in fines and legal costs. You shed businesses and cut jobs by a quarter. You build a solid capital base. You maintain dividends. On your last day, you announce decent results, with revenue growing after five years of shrinkage and profits up nicely. The market’s parting gift to you? The share price falls by 3%.Analysts had expected better from Stuart Gulliver’s final report as boss of Britain’s HSBC, the world’s seventh-biggest bank by assets, on February 20th. They were surprised by charges for impaired loans to two companies, thought to be Carillion, a failed British contractor, and Steinhoff, a troubled South African retailer, and miffed that HSBC put off buying back more shares. That, the bank said, must wait until it has raised $5bn-7bn of “additional tier-1” capital...Continue reading
  • Japan’s central bank chooses continuity over tradition
    GOVERNORS of the Bank of Japan (BoJ) tend not to linger long in their post. Twenty-two people have headed the institution since 1914, compared with 16 at the Federal Reserve and 12 at the Bank of England. The last time a BoJ governor won a second term was 1961, when Japan’s economy was growing by over 11% and inflation was over 5%. As Richard Werner, the author of “Princes of the Yen”, a history of the central bank’s failures, points out, by tradition the job alternates every five years between a candidate backed by the finance ministry and a “true-born” BoJ insider.This tradition will be broken by the reappointment of Haruhiko Kuroda, who was nominated for a second term on February 16th. If he completes it, he will become the longest-serving governor in the BoJ’s history.With luck that might be long enough for him to reach the central bank’s elusive inflation target of 2%, a goal set five years ago which he had hoped to meet by 2015. Although the BoJ has...Continue reading
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