Holding the floor
We have recently written about the potential turning point for Value versus Growth which occurred in mid-November.
To recap, we identified a sharp spike in the volatility of the Value / Growth ratio as resembling a similar event in the year 2000, which at that time marked the start of a long period of Value out-performance.
What do we need for the turning point thesis to hold? ... more
Why are volatility spikes significant?
In our last post we highlighted a volatility spike in the Value / Growth ratio as a potential sign that the multi-year under-performance of Value might be coming to an end.
More specifically, we looked at the 10-day volatility of the MSCI Asia-Pacific ex-Japan Value index divided by MSCI Asia-Pacific ex-Japan Growth index, which in November spiked to 30 for the first time in twenty years.
The last time this happened marked the start of a long period of Value outperformance.
Volatility spikes are often associated with market turning points. Why? ... more