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Market Commentary: Week of June 29, 2020

Market_commentary_week_of_june_29_2020_bodyWhat happened:

Last week was the first real “risk-off” week in quite a while. COVID-19 has pounced on some of our largest population centers that began relatively aggressive economic re-opening campaigns in mid to late May. Florida, Texas, Arizona, and California dominated the headlines, as it certainly appears that the so-called “First Wave” of the virus has not ended yet. The equity and corporate bond markets have banked heavily on the V-shaped recovery and what we are seeing is, the United States is not ready to materially reopen the economy without significant public health damage. By week’s end, state governments like Texas had begun to roll back reopening plans. Moreover, Initial Jobless Claims released every Thursday continue to show catastrophic job loss as an additional 1.48 million Americans filed for the first time. Continuing claims continue to hover around the 20-million mark. It was just a bad week for everyone.

  • The S&P 500 declined 2.8% the week. The average daily move for the week was 1.43%

  • The NASDAQ declined 1.9% for the week. It should be noted that on Tuesday the index printed its all-time high before coming off substantially. The average daily move for the week was 1.54%.

  • The 2-year Treasury decreased 2 basis points for the week, closing .167% Friday.

  • The 10-year Treasury decreased 5 basis point for the week, closing at .642% Friday.

  • The VIX Index decreased 1 % closing at 34.73 Friday.

  • The MOVE Index decreased 4% for the week, closing at 51.21 Friday.

  • 5-year Investment Grade Corporates (as measured by Markit CDX) widened 9 basis points for the week, closing at 80.89 basis points Friday (from March 1st; high 152 bps, low 65 bps). High-yield corporate debt (as measured by Markit CDX) widened 59 basis points, closing at 526.63 basis points (from March 1st; high 871, low 364).

  • US Dollar Index was flat, closing at 97.43 on Friday.

  • WTI Crude was down 3.4% using the August WTI Futures contract, closing at 38.49.

What’s going to happen?

As we go into the July 4th holiday week, it doesn’t feel like much of a holiday. We’ll get the BLS May Employment data on Thursday; the numbers should be interesting, especially how they are interpreted. As we know from the last report, the BLS came out with the disclaimer that many employees that have been laid-off or furloughed were showing up as “absent” from work as opposed to counting as unemployed. We will see with how the market deals with the reported number and the number reported in the disclaimer—that should be fun. One thing we wonder about now that we have a new large outbreak of COVID in a broad swath of the country is, will anybody care too much about rearview-looking data? We have a feeling that, just like at the start of the crisis, backward-looking data will be discounted to a degree as what lies ahead may be a disintegrating economic recovery.


An index is unmanaged and not available for direct investment. Definitions sourced from Bloomberg.

  • The Bloomberg Barclays Global Aggregate Negative Yielding Debt Market Value Index represents the portion of the Bloomberg Barclays Global Aggregate Index that measures the aggregate value of global debt with a negative yield.

  • The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

  • The NASDAQ Composite Index is a broad-based capitalization-weighted index of stocks in all three NASDAQ tiers: Global Select, Global Market and Capital Market. The index was developed with a base level of 100 as of February 5, 1971.

  • The Cboe Volatility Index® (VIX) is a calculation designed to produce a measure of constant, 30-day expected volatility of the US stock market, derived from real-time, mid-quote prices of weekly S&P 500® Index (SPX) call and put options with a range of 23 to 37 days to expiration.

  • The ICE BofA MOVE Index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of implied volatilities on the CT2 (Current 2 Year Government Note), CT5 (Current 5 Year Government Note), CT10 (Current 10 Year Government Note), and CT30 (Current 30 Year Government Note), with weights 0.2/0.2/0.4/0.2 respectively.

  • The Markit CDX North America Investment Grade Index is composed of 125 equally weighted credit default swaps on investment grade entities, distributed among 6 sub-indices: High Volatility, Consumer, Energy, Financial, Industrial, and Technology, Media & Tele-communications. Markit CDX indices roll every 6 months in March & September.

  • The Markit CDX North America High Yield Index is composed of 100 non-investment grade entities, distributed among 2 sub-indices: B, BB. All entities are domiciled in North America. Markit CDX indices roll every 6 months in March & September.

  • The U.S. Dollar Index (USDX) indicates the general international value of the USD. The USDX does this by averaging the exchange rates between the USD and major world currencies. Intercontinental Exchange (ICE) US computes this by using the rates supplied by some 500 banks.


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