Skip to content

Macro Monitor

Dec 06 2023

Treasuries’ Short Squeeze—More Room To Run

  • Dec 6, 2023

The massive short squeeze in Treasuries had a perfect setup and a powerful catalyst.

Dec 06 2023

End Of Tightening—A Tunnel Before The Light

  • Dec 6, 2023

With the market penciling in four rate cuts in 2024, the consensus appears to have accepted the idea that the last rate hike of the series was in July. We look at various market indicators around the end of previous hiking cycles and compare the historical pattern with today’s episode.

Dec 06 2023

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

  • Dec 6, 2023

While recession risk remains high, financial conditions have eased considerably with the recent retracement in bond yields and the dollar. We are in a favorable seasonality window and not being too bearish makes sense at this point.

Nov 06 2023

A Major Yield-Curve Steepening Cycle Has Started

  • Nov 6, 2023

The 10Y-2Y yield curve broke above the key level of -0.4% and that means a double-bottom pattern is in play. While we are confident that a major steepening cycle is here, we have to acknowledge that the nascent move could fail. A steepening move is also the market’s way of signaling easier conditions ahead.

Nov 06 2023

Risk Aversion Index: A New “Higher-Risk” Signal

  • Nov 6, 2023

Our Risk Aversion Index moved higher in October and triggered a new “Higher-Risk” signal.

Oct 05 2023

Equity Duration Risk—Going The Wrong Way For The Magnificent Seven

  • Oct 5, 2023

Typically, duration contracts when rates go up, all else equal. The Magnificent Seven, however, saw their duration going the wrong way: They seem to be the only cohort to see duration lengthening and are now more risky than a year ago.

Oct 05 2023

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

  • Oct 5, 2023

Despite the “Lower-Risk” signal, the surge in bond yields and a higher U.S. dollar have materially tightened financial conditions: Caution is strongly recommended.

Sep 08 2023

New Cycle High In U.S. 10-Year Yield

  • Sep 8, 2023

The 10-year yield made a new cycle high just before the Jackson Hole meeting. That is significant, as it not only broke the lower-high-lower-low pattern since last October, but also rejected the hypothesis, “we have seen the cycle high in interest rates,” which was the consensus at the start of 2023.

Sep 08 2023

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

  • Sep 8, 2023

The Risk Aversion Index ticked up in August, but its “Lower-Risk” message is unchanged. Within fixed income, we remain constructive on shorter maturity and higher-quality credit.

Aug 05 2023

U.S. Dollar—Still The Cleanest Dirty Shirt

  • Aug 5, 2023

The U.S. dollar broke below its recent support; its weakness has been a dominant driver of risky assets and its direction will be an important determinant of the current rally.

Aug 05 2023

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

  • Aug 5, 2023

The rally in risky assets became even more broad-based, with small caps and EM participating fully.

Jul 08 2023

Not All Fed Pauses Are Equal

  • Jul 8, 2023

The latest pause is widely expected to be short-lived, but many things can happen to extend the pause or even completely end the tightening cycle. While some markets show little distinction between a final pause and an interim one, most behave in a way that’s consistent with the economic backdrop.

Jul 08 2023

2023 Time Cycle—Mid-Year Update

  • Jul 8, 2023

So far, it’s all about sector exposure in 2023.

Jul 08 2023

Risk Aversion Index: New “Lower-Risk” Signal

  • Jul 8, 2023

The risk rally has survived a wide range of challenges, including renewed central bank hawkishness, and tighter credit/bank-lending standards, among others. “Soft landing” is still the key narrative that supports the current rally.

Jun 06 2023

Liquidity & Lending—Headwinds Still Ahead

  • Jun 6, 2023

Liquidity and lending conditions have tightened significantly over the course of the current tightening cycle, but they are likely to get worse before they get better.

Jun 06 2023

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

  • Jun 6, 2023

Despite an AI-fueled equity rally, an imminent liquidity reduction and ongoing bank-credit tightening are serious headwinds for risky assets in the near term.

May 05 2023

Three Themes To Watch—An Update

  • May 5, 2023

The Value/Growth dynamic seemed to indicate a return to the “lower rates are good for Growth stocks” regime. China reopening is still alive and well, despite a recent pause. The GSCI Industrial Metals/Gold ratio has broken below its recent range, which bodes ill for inflation expectations going forward.

May 05 2023

Debt Ceiling—Risk Of An Accident Higher Than Normal

  • May 5, 2023

An earlier-than-expected X-date means higher market volatility and increased chance of a temporary short-term deal. Typically, the debt ceiling drama is short-lived and there’s not much impact on most assets before or after a resolution. Overall, the possibility of an accident is now above average.

May 05 2023

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

  • May 5, 2023

Despite the resilience in most risky assets, the recession probability has increased and the prospect of further credit tightening has only added to the downside risk.

Apr 06 2023

The MOVE Is Now A Better Risk Gauge

  • Apr 6, 2023

The MOVE index, a volatility gauge for the bond market, has become a far better risk barometer—and it surged to a new cycle high in March.