The Bernie Madoff Market

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”


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