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Futures

Economist Perspective: 7/24 Erik Norland and Oil Supply and Demand


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This video is from CME Group and is being posted with CME Group’s permission. The views expressed in this video are solely those of the author and/or CME Group and IB is not endorsing or recommending any investment or trading discussed in the video. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


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Macro

The geekiest (and most important) number nobody is discussing


Russ explains why investors should pay more attention to the stock-bond correlation coefficient and understand its impact on investment portfolios.
 

History since the turn of the millennium has been marked by several themes: an ever growing dependency on smart phones, the recent trend towards populism and the economic rise of China. Negative stock-bond correlations rarely make the list.

Admittedly not quite rising to the significance of the smart phone, but this is a big deal from the narrow perspective of the asset allocator. Since 2000 stocks and bonds have tended to move in opposite directions. This propensity towards negative correlation has made bonds a reliable hedge against equity risk. Whether this trend continues is key for how investors build portfolios.

It is important to recognize that stock-bond correlations have not, as a matter of course, always been negative. In fact, over the long term stock-bond correlations average roughly zero. That said, the average masks two very distinct periods. See the chart below.

Stock-bond correlation

chart-stock-bond-correlation

From the 1980s through the bursting of the tech bubble, correlations were reliably positive, averaging 0.50. This was a period when traders anxiously awaited every weekly money supply print and had to divine Federal Reserve (Fed) policy without explicit communications.

The second period began in early 2000. In addition to the end of the tech bubble, that year also marked the start of the slow growth regime that we are in today. Since 2000 correlations have often been negative.

Why the shift?

While the lack of independent economic cycles argues against too strong of a conclusion, stock-bond correlations have tended to co-move with inflation and monetary conditions. During the past 25 years, there has been a tendency for correlations to be higher when Fed policy is tighter. With the Fed tightening monetary conditions for the first time since the crisis, stock-bond correlations may be heading higher.

This leaves the question of why investors should care. Does it really make a difference if stock-bond correlations are -0.4, -0.2, 0 or 0.2? As it turns out, it matters quite a bit when building a multi-asset portfolio.

Correlation decides allocation

Looking at a simple asset allocation, a theoretical allocation to long-dated U.S. bonds (+20 years) fluctuates from as low as 3% to as high as 25% based on changes to the risk model, i.e. correlation of different asset classes. Even with no change in return estimates, a significant change in correlation can induce massive shifts in allocations.

When stock-bond correlations are presumed to be negative, portfolio construction favors traditional Treasury bonds—particularly long-dated ones—as a good source of both carry and diversification. When stock-bond correlations are positive, other hedges—notably cash—may be preferable.

This is an under-appreciated dynamic. In an environment where expected bond returns are already low, the ability to hedge equity risk is the key driver of a bond’s weight in a portfolio. Most investors are good at quoting yield; it may be time to become just as familiar with this less obvious but equally important number.

Russ Koesterich, CFA, is Portfolio Manager for BlackRock’s Global Allocation team and is a regular contributor to The Blog.

Investing involves risks, including possible loss of principal.

This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of July 2017 and may change as subsequent conditions vary. The information and opinions contained in this post are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive and are not guaranteed as to accuracy. As such, no warranty of accuracy or reliability is given and no responsibility arising in any other way for errors and omissions (including responsibility to any person by reason of negligence) is accepted by BlackRock, its officers, employees or agents. This post may contain “forward-looking” information that is not purely historical in nature. Such information may include, among other things, projections and forecasts. There is no guarantee that any forecasts made will come to pass. Reliance upon information in this post is at the sole discretion of the reader.

Past performance is no guarantee of future results.

©2017 BlackRock, Inc. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other marks are the property of their respective owners.

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This article is from BlackRock and is being posted with BlackRock’s permission. The views expressed in this article are solely those of the author and/or BlackRock and IB is not endorsing or recommending any investment or trading discussed in the article. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


13935




Technical Analysis

Nikkei (NK) Forming 4th Straight Red Weekly Candle


Nikkei (NK) is trying to stabilize in the US morning (after sliding lower in the Asia morning) to start the week.  Increasingly wobbly as the NK forms its 4th straight weekly red candle on the back of a strengthening Yen (as seen with the weakening USDJPY, EURJPY and GBPJPY), the NK is vulnerable going into Wednesday's FOMC.  Although the chart history on the provided weekly chart is insufficient to draw any meaningful conclusions, it does appear that the NK has been rejected at upchannel resistance this past month and may be in the process of sliding towards what could become upchannel support.  The daily and 4hr RSI, Stochastics and MACD are all sloping lower, suggesting more downward pressure today.  I will look to short intraday in the red zone (of the daily chart), targeting the green zone for sometime before the FOMC on Wednesday.  The amber/yellow zone is where I might place a stop if I was a swing trader (although in my personal account with which I seldom hold overnight I set my stops tighter).

Nikkei (SGX NK Sep17) Weekly/Daily/4hr/Hourly

Click here for today's technical analysis on EURJPY, Cocoa

 

Tradable Patterns was launched to demonstrate that the patterns recurring in liquid futures and spot FX markets can be analyzed to enhance trading performance. Tradable Patterns’ daily newsletter provides technical analysis on a subset of three CME/ICE/Eurex futures (commodities, equity indices, and interest rates), spot FX and cryptocurrency markets, which it considers worth monitoring for the day/week for trend reversal or continuation. For less experienced traders, tutorials and workshops are offered online and throughout Southeast Asia.

This article is from Tradable Patterns and is being posted with Tradable Patterns’ permission. The views expressed in this article are solely those of the author and/or Tradable Patterns and IB is not endorsing or recommending any investment or trading discussed in the article. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


13934




Options

Volatility 411: Large Front-Month VIX Trade


CBOETV - Jamie Tyrrell, Group One Trading, discusses VIX around all-time lows, size trade in Aug calls.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker, or at www.theocc.com. The information in this program is provided solely for general education and information purposes. No statement within the program should be construed as a recommendation to buy or sell a security or to provide investment advice. The opinions expressed in this program are solely the opinions of the participants, and do not necessarily reflect the opinions of CBOE or any of its subsidiaries or affiliates. You agree that under no circumstances will CBOE or its affiliates, or their respective directors, officers, trading permit holders, employees, and agents, be liable for any loss or damage caused by your reliance on information obtained from the program.

Copyright © 2016 Chicago Board Options Exchange, Incorporated.   All rights reserved.

 

This video is from CBOE and is being posted with CBOE’s permission. The views expressed in this article are solely those of the author and/or CBOE and IB is not endorsing or recommending any investment or trading discussed in the article. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

 

13933




Technical Analysis

Nasdaq Technical Take: Russell testing upper end of bullish band?


For those investors that maybe looking for an opportunity to take some profits, the Russell 2000 appears to be poised to pull-back. The R2000 gained some strength off the 1400 level in early July, but now testing the upper end of its bullish band. Since the start of the year, Small Caps have tested the upper band two other times (early March and late April) and failed to accelerate though its resistance. Both scenarios the RTY dropped by more than 5% during the next couple weeks. If the trend continues a 5% pull back from these levels would put the index around 1380, well below the current support of 1400. 

Nasdaq's Market Intelligence Desk (MID) Team includes: 

Michael Sokoll, CFA is a Senior Managing Director on the Market Intelligence Desk (MID) at Nasdaq with over 25 years of equity market experience. In this role, he manages a team of professionals responsible for providing NASDAQ-listed companies with real-time trading analysis and objective market information.

Jeffrey LaRocque is a Director on the Market Intelligence Desk (MID) at Nasdaq, covering U.S. equities with over 10 years of experience having learned market structure while working on institutional trading desks and as a stock surveillance analyst. Jeff's diverse professional knowledge includes IPOs, Technical Analysis and Options Trading.

Steven Brown is a Managing Director on the Market Intelligence Desk (MID) at Nasdaq with over twenty years of experience in equities. With a focus on client retention he currently covers the Financial, Energy and Media sectors.

Christopher Dearborn is a Managing Director on the Market Intelligence Desk (MID) at Nasdaq. Chris has over two decades of equity market experience including floor and screen based trading, corporate access, IPOs and asset allocation. Chris is responsible for providing timely, accurate and objective market and trading-related information to Nasdaq-listed companies.

Brian Joyce, CMT has 16 years of trading desk experience. Prior to joining Nasdaq Brian executed equity orders and provided trading ideas to institutional clients. He also contributed technical analysis to a fundamental research offering. Brian focuses on helping Nasdaq’s Financial, Healthcare and Airline companies among others understand the trading in their stock. Brian is a Chartered Market Technician.

This article is from Nasdaq and is being posted with Nasdaq’s permission. The views expressed in this article are solely those of the author and/or Nasdaq and IB is not endorsing or recommending any investment or trading discussed in the article. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


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