IVOL News and Press, Quadratic Interest Rate Volatility and Inflation Hedge From 11/26/20

Increased tolerance for risk might explain why gold - almost alone among commodities - has dropped rather precipitously in the past month or so. Among the commodity universe, gold stands out as very expensive, while crude stands out as still very cheap. Expect these prices to norm...

The Bank of England and Fed have scope to double QE programs. But using GFC playbook in a liquidity trap may have little impact, as BoJ found. Evidence on the efficacy of negative interest rates is also mixed. COVID-19-bond financed stimulus is unlimited in size and not tempor...

Recent news about the efficacy of potential COVID-19 vaccines sparked a sudden shift in equity market leadership in November. While it's too soon to say whether these trends will persist, investors should examine the balance of their equity exposures for resilience to a potential chan...

Just because the market is overbought, extended, and deviated from long-term averages does not necessarily mean an immediate correction. Such requires a catalyst. The overbought conditions provide the fuel for the correction. We continue to suggest some caution through active portfoli...

COVID's precision-like timing was supernatural - nothing short of sinister. A once-in-a-century international pandemic surfacing in the waning days of an unrivaled global financial bubble. According to the IIF, U.S. debt is on course to expand about 13% this year to $80 trillion. As a...

We review October leverage figures for the PIMCO taxable suite. We find that fund borrowings decreased slightly, possibly due to already high leverage levels and tightening underlying asset valuations. We also look at the recent outperformance of funds with greater yield curve ste...

If we live long enough, almost all of life's activities are cyclical, alternating from favorable to unfavorable. The name of the game is to be able to participate in the favorable. Economic and stock market cycles are not identical, but they tend to "rhyme". If stock prices do their j...

Much of the drop in the stated core CPI number is coming from declining rent inflation (or shelter inflation). Real-time data suggests that much of this appears to be related to some amount of exodus from expensive cities like San Francisco and New York City. However, declining CP...

The yield curve has taken a strong bullish move as a result of the election and the COVID-19 vaccine progress. The long end of the Eurodollar curve is nearly back to the pre-COVID level. The Fed probably still has room for more traditional accommodation. For further details ...

On Monday, the announcement by Pfizer sent markets screaming higher. However, it wasn't like rallies we had seen previously. Instead, it was a fierce rotation from the previous leaders to laggards. Given the more overbought condition, we expect a one- to two-week correction at the beg...