Yield Curve
Highlights Monetary Policy: Position for rate hikes of 25 bps per quarter for the next 6-12 months and watch nominal GDP growth, cyclical spending and the price of gold for signals about the position of the fed funds rate relative to its equilibrium level. Yield Curve: Curve flattening will…
Highlights After having written about the role of the U.S. yield curve in forecasting recessions, we are devoting this Special Report to addressing the widely asked question on the effectiveness of the yield curve in determining asset allocation. A naïve, rules-based approach is applied to the…
Highlights 0 To 3 Months: Extended net short positioning and the recent moderation in economic data suggest that Treasury yields are ripe for a near-term pullback. Investors who are able should consider tactically buying bonds on a 0-3 month horizon, but with a tight stop loss. 6 to 12 Months…
Highlights Butterfly Trades: Duration-neutral butterfly trades are the best way to gain pure exposure to changes in the slope of the yield curve while remaining insulated from parallel shocks. Yield Curve Models: In this report we present models for each different butterfly spread combination…
Highlights Chart 1Interest Rate Expectations
Interest Rate Expectations…
Highlights Does the 3% level on Treasuries matter to investors? The 2/10 yield curve is typically much steeper when global growth is strong and pro-growth policies are in place. The imperfect inter-relationship between labor market slack, wages and inflation. Feature In last week's report1…
Highlights Corporate Bonds & The Yield Curve: Corporate bond excess returns fall sharply once the yield curve flattens to below 50 basis points, though they typically remain positive until the yield curve inverts. Interestingly, excess returns for equities relative to Treasuries exhibit the…
Highlights Chart 1Inflation Pressures Mount
Inflation Pressures Mount…
Highlights Chart 1Inflation Perks Up
Inflation Perks Up…
Highlights Chart 1Waiting For A Signal
Waiting For A Signal…