The Bernie Madoff Market

I don't know about you, but "I think something is wrong here"...

Just how implausibly calm were markets in 2017, you ask?

Put differently, just how unusual is it for risk assets to rally in a fashion so predictable that you could set a clock by it?

Well, we’re glad you asked. 2017 was so unusual, the gains so predictable, the consistency so implausible, that if global equities were a fund, regulators would suspect it might be a ponzi scheme.


“Those of us expecting greater market turbulence in 2017 could not have been more wrong,” SocGen’s Andrew Lapthorne writes in a Wednesday note, before delivering the following hilarious assessment:

Not only did global equity markets perform well during 2017 (MSCI World delivered a total return of 20.1%), but they did so with such low volatility and consistency that if this were a fund, it would perhaps merit a visit from the authorities to check exactly what you were up to!

Here are some stats from Lapthorne that underscore the Madoff-like character of global equity markets:

  • MSCI World delivered a positive total return every month of the year and for 14 months in a row;
  • realised daily MSCI World volatility over the year was less the 6%, half the usual rate;
  • the index experienced a maximum drawdown of only 2%;
  • if you run a regression trend-line through the year’s performance, the fit is the highest recorded

Every one of those is a record in data going back nearly five decades.

I don’t know about you, but “I think something is wrong here”


1 comment on “The Bernie Madoff Market

  1. Well…. yea…….boy you people are smart. Something wrong? Wow…… holy ……sh*t………..Dude everything is cool dude……………

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