Month-End Perspective

Goldman Sachs forecasts $14 billion in US equity selling from pensions for month-end rebalancing following 4.8% equity outperformance over bonds. Volatility markets show extreme divergence between single-stock and index levels.

Key Takeaways

• 1.Goldman Sachs estimates a $14 billion sell-off of US equities from pensions due to equity outperformance over fixed income.
• 2.US equities have outperformed fixed income by 4.80% month-to-date, with the S&P 500 up 3.77% and 10-year bonds down 1.03%.
• 3.Implied volatility shows significant divergence between single stocks and indices, with realized correlation sitting in the 5th percentile.

Table of Contents

• How does this May rebalance stack up vs history?
• Some charts below...
• Vol
• Additional Disclaimers

Document Preview

Page 1 of 5

Subscribe for full accessStart Free Trial