The attached chart highlights the S&P 500 Low Volatility ETF Relative To the S&P 500 High Beta ETF where we note the ratio/price emerging from a 12-month base formation following a downward trend that was in place from the March 2020 lows.
Why is this chart important? The ratio helps investors identify a leading factor/style which influences sector/style...
Pure Value & Low Vol relative to Pure Growth & High Beta. The rotation away from duration and beta has been very strong the past 2 months. As QT begins and liquidity dries up even more, I’d continue to favor shorter duration & lower beta segments of the market.
Themes:
Last night on radio I spoke about the value versus growth theme and also mentioned our custom safe-haven index which has now broken to the upside of the channel in place since July.
In terms of value vs growth, I also mentioned on Monday that Q2 & Q3 2020, value over growth & cyclicals over defensives were easier calls than it is now. For e.g. Deere...
Bullish when rising --> Risk-Seeking market
Bearish when falling --> Risk-Off market
Another ratio that demonstrates non-confirmation as the market lunges to new all-time-highs.
Noticeable Themes
- Value in short term upward trend versus growth
- Cyclical stocks rolling over versus Defensive stocks
- S&P Low Volatility ETFs starting to outperform the S&P 500 on a relative basis
- US Small Caps (IWM) neutral vs US Large Caps (SPY)
- Emerging Market equities neutral vs Developed Market Equities
- Safe-Havens Surging
This chart forms part of a larger research note. None of the information posted here (TV) should be considered financial advice.
On a relative basis, safe-havens have out-performed risk assets for the past week. This is highlighted by the relative chart, using our custom Global Safe-Haven Index (SHIX) versus the S&P500 E-mini Futures (as a wide proxy for risk...
Low vol is supposed to be better in times of high vol. (At least that is how a financial advisor explained it to me).
So let's see. This March was quite volatile. How did LOW vol do compared to your vanilla $SPY?
Turns out this month it did 2% worse.
Global Safe-Haven Index Relative To Global Equities - Lifting At The Lows | Our custom safe-haven basket has shown signs of reversal as it trades near 7-month lows with a technical bullish RSI divergence guiding the view that it's time for safe-havens to shine once again. I believe this chart is key as you may recall sentiment late on Thursday afternoon, via the...
Our custom Global Safe-Have Index trending lower versus global equities i.e. demand for safe-haven assets have been lost as riskier assets continue to be supported. On a relative basis, the price is approaching a 7-month low where safe-havens may find technical support on a relative basis versus global equities. Also note we have a small bullish divergence...
Global Safe-Haven Index (SHIX):
Our risk indicator has been enhanced with the inclusion of four new factors, which takes the total inputs to eight.
They now include:
1. Gold Futures
2. TLT ETF (Bonds)
3. Japanese Currency Index
4. Swiss Currency Index
5. S&P Low Volatilty ETF
6. iShares Emerging Markets ETF (Inverse)
7. USDKRW (US Dollar / Korean Won) -...
NYSE Arca
