ETHTF (Core Strategy Rebalance)

Aug 18, 2023 • 8 Min Read

Macro Has Been Winning the Battle

Last week, we advanced the idea that the recent decline in volatility might be traced to two competing forces: (1) positive industry-specific tailwinds and (2) negative macro headwinds. Additionally, the recent dip in macro correlations could be attributed to unique catalysts, notably the BlackRock ETF application.

Our thinking was that without further industry-specific catalysts, traditional macro correlations would likely return. As evidenced by the charts below, this appears to be the case, with a positively correlated relationship to equities and a negatively correlated relationship to the DXY returning, at least for now.

The chart in this report is only accessible to members
The chart in this report is only accessible to members

The recent weakness in prices is certainly disconcerting. Rates look like they do not have a ceiling (they will, eventually).

The chart in this report is only accessible to members

And the dollar, as the cleanest dirty shirt in the fiat laundry is exhibiting continued strength.

The chart in this report is only accessible to members

Further, global liquidity, as measured by the size of the balance sheets for the top 4 central banks (Fed, PBOC, BOJ, ECB) is down to levels last seen in mid-September of last year.

The chart in this report is only accessible to members

The Floodgates Open (Momentarily)

The one thing we were sure of was that volatility could not simply drift lower forever. Th...

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