Skip to main content

TECHnicals Highlight Short-Term Volatility Risk...

THE VERDICT IS IN

In case there was any lingering debate as to the influence of technology in the 21st century, the recent outperformance of tech stocks has shattered all arguments to the contrary.  By any metric or interval, the sector's influence is undeniable. 

Here's a glance at the relative performance of the tech-heavy NASDAQ composite to the S&P over the past 9 years:


...it's not even close.

For the sake of context, the "Big Four" (AAPL, AMZN, FB, MSFT) now make up more than 10% of the S&P 500. 


SEE NO EVIL, HEAR NO EVIL, SPEAK NO EVIL

Short of a totally unexpected rejuvenation of anti-trust regulation, there doesn't appear to be any legitimate threat to the strength or influence of technology companies in the foreseeable future.

However, it is worth noting that short term market risks are beginning to flash yellow as a number of factors begin to align. 
  • First off, the overall market is being carried by the strength of tech as other sectors suffer.  Consumer related sectors like retail, biotech and airlines have especially been hit hard over the course of the past weeks and months.  While energy and financials have done better, the concentration of the gains in tech is outpacing even recent history.
  • Secondly, market volatility remains ridiculously low.  The VIX slipped back under 10 this week which suggests that the perceived risk in the market is scant at best.  This is important because markets tend to have the largest price moves - in either direction - when actual events deviate from expectations.
  • Perhaps most importantly, though, is that the big tech names are all over-extended - some staggeringly so.  Of the aforementioned "big four", all but FB have a 20-day moving average variance above 3! (AMZN: 3.60, AAPL: 3.25, FB: 1.21, MSFT: 3.37 ) For context, a 20-day variance above 2 is considered high.  Throw in GOOG's 20-day variance of 1.91 and the picture only gets that much clearer.
Over the course of the past 6 months, the QQQ has had a 20-day variance over 2 a total of seven times.  The mean 10-day subsequent returns for this period were -1.07%.  Currently, the QQQ's 20-day variance is 2.11; should it revert to its 20-day moving average, that would represent a -2.60% move from Friday's close.

A -2.60% move in tech would certainly not spell the end of the world... or even the end of the bull market for that matter.  However, the tremor would most likely reverberate through sleepy vol markets.  It was just last April that the VIX spiked over 70% in just four days when it was at similar levels.

Comments

Popular posts from this blog

Modeling Credit Risk...

     Here's a link to a presentation I gave back in August on modeling credit risk.  If anyone would like a copy of the slides, go ahead and drop me a line... https://www.gotostage.com/channel/39b3bd2dd467480a8200e7468c765143/recording/37684fe4e655449f9b473ec796241567/watch      Timeline of the presentation: Presentation Begins:                                                                0:58:00 Logistic Regression:                                                                1:02:00 Recent Trends in Probabilities of Default:                              1:10:20 Machine Learning:                                                                  1:15:00 Merton Structural Model:                                                        1:19:30 Stochastic Asset Simulation Model:                                        1:27:30 T-Year Merton Model:                

Modeling Black-Litterman; Part 1 - Reverse Optimization

  "The 'radical' of one century is the 'conservative' of the next." -Mark Twain In this series, I'm going to explore some of the advances in portfolio management, construction, and modeling since the advent of Harry Markowitz's Nobel Prize winning Modern Portfolio Theory (MPT) in 1952. MPT's mean-variance optimization approach shaped theoretical asset allocation models for decades after its introduction.  However, the theory failed to become an accepted industry practice, so we'll explore why that is and what advances have developed in recent years to address the shortcomings of the original model. The Problems with Markowitz For the purpose of illustrating the benefits of diversification in a simple two-asset portfolio, Markowitz's model was a useful tool in producing optimal weights at each level of assumed risk to create efficient portfolios.   However, in reality, investment portfolios are complex and composed of large numbers of holdin

Evidence the SPY is Overbought...

 A quick note on the recent market rally here of late.  It's plain to see the markets have been on a tear for the month of June (and going back into May for the QQQ) as the SPY closed today at its highest level in almost fourteen months. If we start to look at the historical levels, however, it appears the SPY may be overbought in the short-run and susceptible to a mean-reverting pattern. Here's the daily chart of the SPY as of today's (6/15/23) close... When looking at the distance between the closing price and the 50-day moving average (illustrated by the yellow bar), we're noticing a large gap... this can be measured by a statistic I developed which I casually refer to as "variance"... or the distance between current prices and their respective moving averages. Historically, throughout the life of the SPY (which debuted in January of '93), the variance over the 50-day moving average has peaked at a reading of 3.20... today's reading posts up at 2.49