Submitted by Pater Tenebrarum via Acting-Man.com,
A Useful Leading Indicator?
We often see charts comparing the S&P 500 to the growth in the Federal Reserve’s balance sheet, or more specifically, to assets held by the Fed. There is undeniably a close correlation between the two, but it has struck us as not very useful as a “timing device”, or an early warning device if you will.
JPM's head quant, Marko Kolanovic, who turned somehwat gloomy in the past few months, has seen some hits and misses in his recent forecasts. On one hand he did accurately predict the surge in gold one month ago, as well as the rebound in oil and Emerging Markets; however on the other he suggested that being long VIX and cash would be a good place to wait out the upcoming market volatility.
Submitted by Salil Mehta of Statistical Ideas
High-Risk Regime's 6-Month Anniversary
On Monday, in “JPM Looks At Draghi’s ‘Package,’ Finds It ‘Solid’ But Underwhelming,” we noted that according to Mislav Matejka, investors would do well to fade the ECB’s latest attempt to jumpstart inflation, growth, and of course asset prices with Draghi's version of a Keynesian kitchen sink.
“Overall, we believe the latest package is far from a game changer,” Matejka opined.
As if the historic collapse of Valeant and his hedge fund crashing by 26% YTD was not enough, moments ago S&P added insult to injury when it warned it may downgrade Pershing Square, because "Pershing Square Holdings' net asset value has dropped substantially, largely because of a precipitous decline in the market value of Valeant Pharmaceuticals" and "as a result, Pershing Square's debt-to-total assets ratio increased to above 20% as of March 15, 2016, from 15% at the end of October 2015.