Good morning! Below is Chartcuterie for 2/21/15, cross-posted from Twitter (curated list here).
Huge drop in Chicago PMI this week. Here's its correlation to ISM Man & big drops charted vs historical IP. (Bespoke)
CS charts global IP momentum and risk appetite.
Closing out the econ section of Chartcuterie: long-run momentum in nominal GDP and CPI, courtesy of BAML.
BAML also charts the death of risk free returns on cash.
GS maps YTD total return & Sharpe by asset class. This may be slightly dated, but a nice year so far for global macro.
BNP: OAS on MBS is poised to break below zero. MBS have been one of the highest Sharpe asset classes since '09.
BNP also maps the risk compression in the Eurozone in terms of ratings versus spread.
MS says that the EUR is becoming the JPY in terms of beta to spooz.
MS also notes how aggressively hedged EZ equity flows have been at the ETF level.
The debt multiple: price per share/debt per share. Massive cash balances distort this a bit (net vs gross). (Bespoke)
That concludes Chartcuterie for today. Have a great Saturday!