Milliman FRM

Is money market fund AUM growth signaling changing expectations?

Just how much is the Fed shaping the yield curve?

The stock market celebrated as the Fed recalibrated.

Investors have taken a big bite out of FANG.

Will the real fed funds rate please stand up?

S&P 500 Posts Deepest Monthly Loss In Seven Years, Managed Risk Investing, October Delivered On Its Reputation For Higher Equity Market Volatility

The global QE landscape is changing.

Has the Fed moved too far too fast?

The U.S's biggest debt holder strikes back.

Read the September 2018 Market Commentary from Milliman FRM

This yield metric has risen to its highest level in nearly 30 years

By this measure, money market fund assets are at a 25-year low.

U.S & China: A tale of two countries.

Central bank policies are increasingly diverging.

Is it different this time around?

Feeling the pain: Debt service on $2 trillion in USD-denominated EM debt has become more costly of late.

Stocks hit the ground running to start the second half of 2018.

U.S. stock dividends have grown much faster than inflation.

JGBs: Canary in the coal mine?

The number of stocks leading the market higher is surprisingly low.

Is this the anti-inflationary mechanism the Fed is counting on?

Fed Policy Normalization: Too little too late?

After two consecutive months of market tumult and negative returns, the S&P 500 in April exhibited greater calm and eked out a positive return. Volatility was lower in April than it was in March and closer to its five year average across each of the major segments of the global equity market. Unlike 2017, markets in post-January 2018 have been much less decisive. The ongoing divergence of supply and demand factors in the bond market is creating mounting upward pressure on interest rates.

The breakout of U.S Dollar may cause headwind for global equities.

The high level of volatility in February persisted through March as markets digested the implications of tighter monetary policy, troubles in the technology sector and the prospect of a tariff-induced trade war. The global equity market notched its first quarterly loss and its highest volatility since Q3 2015. Another Fed rate hike in March further tilted the yield curve to its flattest level in more than a decade. The S&P 500 Managed Risk Index saw its equity allocation reduced down to 67% heading into April.​

The yield curve is flattening. How low will it go?

When complacency met fear: $18 billion monthly outflow of SPY.

Volatility came roaring back in February as the S&P 500 notched its first negative monthly return in more than a year. The S&P 500 Managed Risk Index reduced its equity allocation for the first time in 18 months. The U.S. bond market notched its second consecutive negative monthly return as the yield curve tilted higher and credit spreads widened, diminishing its diversification benefit.

What does the velocity of money have to do with inflation?

February 2018: A case study in VIX exposure

VIX is back, be aware of the normalcy bias in 2017 .

Global equities roared out of the gate in January, notching their best start to a new year since 1994. The price of oil made an even larger jump than equities, reaching its highest price since 2014, while the U.S. dollar endured its largest monthly decline in nearly two years. Even though bond-market inflation expectations have risen to a three-year high, the Fed kept its overnight interest rate unchanged at its January meeting.

In this issue: Equity market volatility exhibits an inverse relationship with stock/bond correlation. This is a benefit to managed risk funds; As a result of ongoing low volatility, managed risk funds have generally implemented their respective maximum equity allocations for most of 2017; and market-based measures.

After stumbling out of the gate, a 2.5% rally in the second half of April left the broad-market S&P 1500 1% higher on the month.

Factors ranging from China’s evolving economy to the rise of nationalism combined to make 2016 a year that will not be quickly forgotten.

Donald Trump’s largely unexpected victory of the U.S. presidential election echoed the Brexit vote of just six months prior, reinforcing an ongoing fundamental shift in political currents and capital markets around the globe.

The S&P 1500 notched its worst monthly return since January as investors looked ahead to the presidential election and the Fed’s last meeting in 2016.

The S&P 1500 capped its fourth consecutive quarter of positive returns (and its 26th out of the last 30), as volatility reverted back up, closer to historical levels.