Copper/Gold and Ten-Year Treasuries

Today, we’ll revisit the relationship between the copper/gold price ratio and 10-year Treasury yields. Inflation and interest rates have been all the rage recently, along with the VIX (which we discussed several days ago here), and it feels like a good time to refresh on this concept.

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VIX and Realized Volatility: updating our previous work

In a previous post, from way back in August of 2017, we explored the relationship between the VIX and the past, realized volatility of the S&P 500 and reproduced some an interesting work from AQR on the meaning of the VIX. With the recent market and VIX rollercoaster, this seemed a good time to revisit the old post, update some code and see if we can tweak the data visualizations to shed some light on the recent market activity.

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Labor Cost Equity Strategy

A recent piece on Business Insider, available here if you are a BI Prime subscriber and similar piece available from CNBC here, discusses an idea from Goldman Sachs that rising labor costs (expected in 2018) should lead to outperformance by companies with relatively low labor costs as a percentage of expenses.1 In today’s post, we will construct an R code flow/template to examine the relationship between stock performance and labor costs, visualize the recent historical relationships that might have led to this hypothesis, and think about extensions at the end.

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The Vix and The Future

In a previous post, we examined the relationship between the VIX and the past, realized volatility of the S&P 500. Today, we’ll think about how/whether the VIX predicts future volatility and we’ll be reproducing some visualizations from this Bloomberg piece. Once again, the substance and ideas here are 100% attributable to Bloomberg - my goal is to reproduce and add to our R toolkit, and learn something about volatility. First, we grab the price history of the VIX and SP500, convert to returns, and calculate the rolling 20-day volatility of the SP500.

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Realized Volatility and the VIX

Today we’ll explore the relationship between the VIX and the past, realized volatility of the S&P 500. The VIX is a measure of the expected future volatility of the S&P500 and it has been quite low recently. As a volatility nerd, I came across an interesting piece from AQR on the meaning of the VIX. As a reproducibility and R nerd, I decided to reproduce some of the findings using R.

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