Passaic Partners is a majority employee-owned investment firm dedicated to providing liquid alternative investment solutions to long-only and hedge fund investors.

Is the Future More or Less Certain?

March 2024

Global markets continued their advance in March. The S&P 500 gained 3.10%, MSCI-ACWI gained 3.14%, US 10-year bond yields retreated by 1.17%, GSCI rose 4.73% (led by crude oil and gold), DJ Real Estate index was up 1.76%, and the US Dollar was up 0.32%. There was broader US equity strength with Cyclicals, Energy, and Materials benefiting from higher commodity prices.

Volatility remained subdued as the Fed signaled that rate cuts were firmly on the table. Greater predictability from the Fed led to a drop in 21-day realized volatility from 13.2 to 9.5. Implied volatility ("VIX") dropped from 13.4 to 13.0. ICE BofAML Move Index, the fixed income equivalent of the VIX, dropped by 20.8%. Put/Call Skew, the expectation of how options will perform in relation to their current price and an indicator of investor sentiment, remains at multi-year lows. This shows continued lack of fear of downside equity movement and...