1.Hockey Stick One Month Treasury Yields.
Studying S&P 500 index data from 1989 to 2017, Arnott found that the stocks added to the index underperformed those that were kicked out by an average of 23 percentage points over the next 12 months Stocks added are almost always trading at high multiples. Discretionary deletions, when companies are removed for not meeting criteria, are almost always trading at bargain-bin prices. It occurred to me that no one had taken a close look at the “buy high, sell low” nature of indexes, exploring that as trading cost.
Traders’ interest in VIX options keeps on waning. The collapse of a popular exchange-traded note amid a surge in market turmoil earlier this year helped send the number of Cboe Volatility Index contracts tumbling, and this month options volume has slumped to a three-year low. The VIX is heading for a May drop, a pattern that led to gains in June in the past four years, Bloomberg notes.
@sentimentrader notes “Using big 1-day jumps in the VIX as a signal that volatility is about to pick up going forward has been, to put it mildly, unsuccessful.”
From Dave Lutz at Jones.