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Emerging market vol spike

Jason Goepfert
2020-11-30

Out of all the volatility measures I watch, the one with the biggest gain today is VXEEM, the one tracking emerging markets. Makes sense, EEM is on the lower end of broad ETFs today.

If we look at EEM's returns following any day when its "fear gauge" spiked 10% but was still relatively low, below 26, then EEM's forward returns were quite poor. Its trough was 72 days later, when it showed a positive return only 43% of the time. A bit of a worry.

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