volatility | RecessionAlert

Tag Archives | volatility

Headwinds increasing for the stock market

By RecessionALERT on July 10, 2020 in Reflections

NOTE : All images and charts displayed below are regularly updated and available to subscribers from the CHARTS menu. The SP-500 has enjoyed an incredible 40% rally since the 23 March lows. This was mostly fueled by an unprecedented FED stimulus program, which is now coming to an end within the next few weeks: Unless […]

Read full story · Comments are closed

Impact of monetary policy & yield curve on future volatility

By RecessionALERT on May 27, 2019 in Research Papers

This research note investigates the relationship between the yield curve (US 10-year less US 1-year constant-maturity treasury spread) and the Federal Funds Rate (monetary policy) on the future readings of the CBOE VIX index. The 10’s vs. 1’s yield-curve and U.S recessions in the post-war era are displayed below, where it is clear that the […]

Read full story · Comments are closed

IMPORTANT DISCLAIMERS: Although many of our models rely heavily on back-testing, optimisation and probability methods, please note that past performance is NO GUARANTEE for future returns. No system devised by man can predict the future, let alone the future of the markets and economies. What we have are sets of mathematical models that use historical data and varying theories to pinpoint places in time when the STATISTICAL LIKELYHOOD of calling the start and end to recessions is the greatest. In the midst of all the best mathematical models, you can have geo-political events, wars, terrorist attacks, natural disasters and even nuclear accidents that tip everything upside down. This is always a risk factor you need to factor in on any recession call no matter how confident you are in a signal. The SuperIndexes are created through mathematical and statistical optimisation techniques that best fit the historical NBER data. There is no guarantee that out-of-sample performance will match that of prior in-sample performance.