Source: Wall Street
Niuniu knocked on the blackboard:
This week will be the peak of liquidity for the rest of the summer; the yield of the stock market is improving; the trend of US-listed stocks is diverging again.
In a recent report, Goldman Sachs Group traders Scott Rubner, Matthew Fleury, Matthieu Martal, Kavita Vaja and Jonas Bovbjerg summarized the market in August and the past with 13 charts.
1. There is ample liquidity at present
Goldman Sachs Group believes that this week will be the peak of liquidity in the rest of the summer, and liquidity will enter a busy week in the coming week.
2. the rate of return on stocks is improving.
Goldman Sachs Group said that the negative correlation between SPX (S & P 500) and NDX (NASDAQ) and 30-year yield has changed to positive again, which means that the yield of the stock market is improving.
3. China-listed stocks are divided again.
Goldman Sachs Group said that the trend of US-listed stocks is divided again: MSCI China's earnings per share excluding the internet are up 5 per cent year-to-date, while Chinese internet earnings per share are down 22 per cent year-to-date.
4. The level of implied diversification in the US and European markets has been increasing over the past five years.
5. As the stock index has been rising, the dispersion performance has been stable.
6. Since market volatility has peaked before, dispersion during the epidemic has actually been a defensive attribute.
7. The implied volatility of the index has greatly lowered the low of the index before and after the epidemic.
8. part of the reason for the decline in the implied volatility of the index in recent years is the sharp decline in the level of implied correlation of the index and the decline in demand for upside call options in European stock markets.
The average individual stock correlation data implied by the market show that although the implied volatility of the index has declined since 2015 and declined again after the epidemic, driving up the level of implied diversification, this is consistent with the sharp decline in the level of implied correlation in the same period.
9. The correlation between t and tmur1 in SX5E (European Stoxx 50 index) is very low.
10. Spread trading is at an all-time low after 2020
11. At present, the price spread of SX5E-SPX has increased significantly.
12. The correlation between the market and momentum and the cyclical / defensive nature of the EU has been achieved
13. The term structure of VOW3 has flattened significantly over the past year.
Edit / lydia