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The VIX reached a higher peak in October than it did in September. Interestingly, in the second half of October, the VIX then steadily decreased as the U.S. equity market rallied more than 8%. For its part, Treasury volatility also came in during the latter part of the month, but for all practical purposes, the MOVE index (a VIX for the Treasury curve) did not come in as much as the VIX (Chart 1). . . .
Dispersion abounds. While U.S. and European equity markets produced a strong recovery in October, Asian and the broader emerging markets lagged substantially. Similarly in the U.S., the Dow Jones Industrial Average was up just under 14% while the Nasdaq 100 was up less than 4%.
Inflation is stickier than any of us thought, and the Fed is determined to wipe it away. Traditional inflation-linked assets are not serving as a proper hedge. Last month, gold was down 3.14%, oil was down 11.23%, TIPs (ETF) were down 7.91%, and REITs (IYR ETF) were down 13.62%.
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