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Macro Monitor

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.

Apr 06 2023

Yield Curve Re-Steepening—At A Critical Crossroads

  • Apr 6, 2023

We studied market behavior around yield curve re-steepening and identified six historical cases. Of those, three were successful and preceded major recessions. The other three instances failed and reversed to new lows. The gist of the study: We are at a critical crossroads.

Apr 06 2023

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

  • Apr 6, 2023

Inflation concerns have been pushed aside by the upcoming curtailment of credit and lending. The possibility of a recession has no doubt increased, and risky assets are apt to face challenges.

Mar 07 2023

Three Themes To Watch

  • Mar 7, 2023

The China-reopening theme is alive and well, which will likely support cyclical outperformance. The disinflation trade is at a crossroads. Value/Growth started to decouple from interest rates.

Mar 07 2023

Weight Watcher Update—Still Like Value Sectors

  • Mar 7, 2023

While the valuation gap between Growth and Value sectors was compelling just a couple of years ago, it has closed drastically the last twelve months. Our analysis shows that Value sectors (Energy, Industrials) are still more favorable than Growth sectors (IT, Health Care).

Mar 07 2023

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

  • Mar 7, 2023

Inflation worries have rekindled expectations for additional rate hikes. Providing this dynamic is still in play, risky assets are apt to face challenges.

Feb 06 2023

Soft Landing Or Recession? A Dashboard Update

  • Feb 6, 2023

The weight of evidence clearly leans more toward a recession, but the wild card is the recent dovish turn of global central banks, which can significantly boost confidence from investors, consumers, and businesses.

Feb 06 2023

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

  • Feb 6, 2023

Seasonality is still an advantage, and financial conditions have eased. Within fixed income, we remain favorable toward both Treasuries and higher-quality investment-grade corporate bonds. We maintain a neutral stance on the yield curve.