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Risk Aversion Index

Oct 05 2018

Risk Aversion Index: New “Lower Risk” Signal

  • Oct 5, 2018

Our Risk Aversion Index fell sharply last month and triggered a new “Lower Risk” signal. Caution is still strongly recommended, and we favor higher-quality credit within fixed income.

Sep 07 2018

Risk Aversion Index: New “Higher Risk” Signal

  • Sep 7, 2018

Our Risk Aversion Index reversed higher last month and triggered a new “Higher Risk” signal. We recommend a defensive stance within fixed income.

Aug 06 2018

Risk Aversion Index: A New “Lower Risk” Signal

  • Aug 6, 2018

Our Risk Aversion Index fell enough last month to generate a new “Lower Risk” signal. This is certainly not a “no brainer” risk-on signal. We recommend higher quality spread products within fixed income.

Jul 07 2018

Risk Aversion Index: Stayed On “Higher Risk” Signal

  • Jul 7, 2018

We believe the negative impact of central bank liquidity reduction is here to stay for the foreseeable future. We recommend defense within fixed income.

Jun 07 2018

Risk Aversion Index: Stayed On “Higher Risk” Signal

  • Jun 7, 2018

Volatility among non-equity asset classes has gone up noticeably while the VIX dipped lower. We still expect volatility to stay high and continue to play defense within fixed income.

May 05 2018

Risk Aversion Index: Stayed On “Higher Risk” Signal

  • May 5, 2018

We expect volatility to stay high and still recommend defensive positions within fixed income.

Apr 06 2018

Risk Aversion Index: Stayed On “Higher Risk” Signal

  • Apr 6, 2018

While concerns about a trade war might be easing and the credit market has been largely unaffected by the surge in Libor rates, we have to recognize the fact that Trump’s policy focus has become increasingly market-unfriendly while global central banks are in a liquidity-reducing mode.

Mar 07 2018

Risk Aversion Index: A New “Higher Risk” Signal

  • Mar 7, 2018

While the late rebound in risky assets pared back earlier losses, weakness was observed in all major risk asset classes. We continue to recommend defense for the time being.

Feb 06 2018

Risk Aversion Index: Turned Higher But Stayed On The “Lower Risk” Signal

  • Feb 6, 2018

Our Risk Aversion Index turned higher last month but stayed on the “Lower Risk” signal as of the end of January. The first few days of February brought a big surge in this index and would suggest a “Higher Risk” stance for the near term.

Jan 06 2018

Risk Aversion Index: New “Lower Risk” Signal

  • Jan 6, 2018

Our Risk Aversion Index turned lower in December and reached an all-time low. We remain favorable toward higher quality credit within fixed income.

Dec 07 2017

A New “Higher Risk” Signal

  • Dec 7, 2017

The index ticked up on the back of higher VIX, a High Yield credit mini sell-off, and EM underperformance. We are turning a bit more cautious toward credit but still recommend safe spreads within fixed income.

Nov 07 2017

RAI Stayed On “Lower Risk” Signal

  • Nov 7, 2017

The range-bound interest rate action provides a friendly environment to earn the carry, through moderate duration and high grade credit exposure.

Oct 05 2017

Risk Aversion Index: Stayed On The “Lower Risk” Signal

  • Oct 5, 2017

We believe the “Goldilocks” environment is still intact. Earn the carry.

Sep 08 2017

Risk Aversion Index: Stayed On The “Lower Risk” Signal

  • Sep 8, 2017

With the “Goldilocks” scenario still intact, we believe earning the carry is the right approach and high grade credit fits the bill.

Aug 04 2017

Risk Aversion Index: Stayed On The “Lower Risk” Signal

  • Aug 4, 2017

With neither inflation nor recession an imminent threat, the “Goldilocks” scenario remains intact. We continue to view high grade credit favorably within the fixed income space.

Jul 07 2017

Risk Aversion Index: New “Lower Risk” Signal

  • Jul 7, 2017

“Lower Risk” signal closed out the “Higher Risk” signal generated five months ago. We’re encouraged by the resilience in risky assets during the oil sell-off and the late surge in global bond yields. We’ve been favorable toward high-grade credit and maintain this view within the fixed income space.

Jun 07 2017

Risk Aversion Index: Still On “Higher Risk” Signal

  • Jun 7, 2017

The global risk rally is broad-based enough to justify a favorable credit view and we still believe higher quality credit offers better reward/risk.

May 05 2017

Risk Aversion Index: Still On “Higher Risk” Signal

  • May 5, 2017

Last month, we recommended going up in quality within fixed income and we maintain this cautious stance for the time being.

Apr 07 2017

Risk Aversion Index: Still On “Higher Risk” Signal

  • Apr 7, 2017

We recommend going up in quality across the whole fixed income spectrum.

Mar 07 2017

Risk Aversion Index: Stayed On The “Higher Risk” Signal

  • Mar 7, 2017

While we continue to view spread products favorably within fixed income, the March rate hike has yet to have its impact play out. In the near term, we will respect the “higher risk” signal and exercise caution.

Feb 07 2017

Risk Aversion Index: A New “Higher Risk” Signal

  • Feb 7, 2017

This new signal is mostly due to a much lower reading three months ago.

Sep 08 2016

Risk Aversion Index– Stayed On “Lower Risk” Signal

  • Sep 8, 2016

Given the not-too-hot-not-too-cold macro backdrop, we expect the credit rally to continue in the near term and favor spread products within fixed income.

Aug 04 2016

Risk Aversion Index—New “Lower Risk” Signal

  • Aug 4, 2016

We expect the search for yield to continue in the near term and favor Higher Quality credits within fixed income.

Jul 07 2016

Risk Aversion Index—New “Higher Risk” Signal

  • Jul 7, 2016

With global bond yields plumbing new all-time lows, we continue to favor Higher Quality credits within fixed income.

Jun 07 2016

Risk Aversion Index—Ticked Up But Stayed On “Lower Risk” Signal

  • Jun 7, 2016

The real test for risky assets lies immediately ahead with central bank meetings, the Brexit vote, and the Spanish election later in the month. We continue to favor Higher Quality credits within fixed income.

May 06 2016

Risk Aversion Index—Stayed On “Lower Risk” Signal

  • May 6, 2016

After the last couple months’ strong surge, risky assets are entering a seasonally unfavorable period, with Brexit looming particularly large in the near term. We still favor higher quality credits within fixed income.

Mar 07 2016

Risk Aversion Index—Ticked Lower But Stayed On “Higher Risk” Signal

  • Mar 7, 2016

We believe a short term rally is more likely and recommend a neutral stance towards credits at this point.

May 07 2015

Risk Aversion Index Fell Sharply, Generated A New “Lower Risk” Signal

  • May 7, 2015

Favor credits within fixed income in the near term but beware of volatility ahead

Apr 08 2015

RAI Ticked Up And Stayed On “Higher Risk” Signal

  • Apr 8, 2015

We recommend staying cautious and exercising patience in the near term.

Mar 06 2015

Risk Aversion Index—Fell Sharply But Stayed On “Higher Risk” Signal

  • Mar 6, 2015

We are leaning towards a more favorable outcome for risky assets but staying alert.

Feb 06 2015

Risk Aversion Index—Stays On “Higher Risk” Signal

  • Feb 6, 2015

The market is at a critical juncture with oil-related assets very oversold while equities are holding near all-time highs.

Dec 05 2014

Risk Aversion Index Stays On “Lower Risk” Signal

  • Dec 5, 2014

Continued strength in equities offsets the weakness in credits and commodities to arrive at an essentially flat reading.

Aug 06 2014

Risk Aversion Index Ticked Up - Still On “Higher Risk” Signal

  • Aug 6, 2014

There have been several cases in the last couple years where credit and/or currency risk-off events never affected equities. We will soon find out if this is just another one of those. Caution is recommended.

Jul 08 2014

Risk Aversion Index - Stayed On Higher Risk Signal

  • Jul 8, 2014

The level of this index is in an extreme zone where false alarms are more likely as small movements in the index can trigger new signals.

Jun 05 2014

Risk Aversion Index - New Higher Risk Signal

  • Jun 5, 2014

Surprising strength in the Yen, a drop in commodities, and slightly wider credit spreads pushed up the index. An increase in risk aversion becomes more likely at the current extremely low level. Caution is warranted.

Apr 07 2014

RAI Lower - Stays on "Lower Risk" Signal

  • Apr 7, 2014

Risk assets continued to perform well in March, and our monthly Risk Aversion Index (RAI) fell to near record low levels. We continue to favor high quality credits within fixed income.

Mar 06 2014

RAI Falls Sharply—New “Lower Risk” Signal

  • Mar 6, 2014

This closed out the one month old “Higher Risk” signal. We continue to favor high quality credits within fixed income.

Feb 07 2014

Risk Aversion Index Turns Higher, New “Higher Risk” Signal

  • Feb 7, 2014

We are turning defensive within fixed income and recommend moving up the quality scale.

Jan 08 2014
Dec 06 2013

Risk Aversion Index Edges Lower, Stays On Its “Lower Risk” Signal

  • Dec 6, 2013

We are in the seasonally favorable part of the year and we continue favoring high-grade credits within fixed income.