Commercial traders (AKA the smart money) has massively flip flopped their positioning since the end of last year with respect to the long bond. In aggregate, commercial traders have moved from a net short position (benefiting when rates rise) of about 50K derivative contracts to...
For most investors, a negative or low positive correlation between equity prices and long-term bond prices is a preferred and time-tested way of keeping one's portfolio volatility low. However, this has been very difficult over the past two years as the four-year rolling correlation between...
The 30-year treasury bond has experienced a rather large selloff by historical standards over the last three months. Yields have risen from roughly 2.2% to almost 2.9% in just over three months - a nearly 25% increase in yield - putting it on par with...
The spread between junk bonds and 10-year treasury on 6/23/14 hit a very narrow 222 basis points. At that time, the S&P 500 was trading at 1962. Since then the junk bond spread widened to over 5% in December and currently stands at 415 basis...
The action in the US government bond market over the last several weeks has reminded us of a quote from one of our favorite books on investing, ”Reminiscences of a Stock Operator”. Those familiar with Reminiscences will recall several scenes in which young traders are gathered...
The recent move higher in longer dated US treasury bonds has been sharp and fast and has caught plenty of people off guard. The 10-year bond yield has moved from 1.68% to 2.12% while the 30-year has moved from 2.25% to 2.72% in a little...
Over the last five years the signal given by investor positioning in options and futures contracts on the 30-year treasury bond has proven prescient. Each time commercial traders have moved to a long position in the long bond rates have been near a peak....
The Barclays US Aggregate Treasury total return index is up nearly 6% year-over-year. This index has a modified duration of 5.75 years. Not a bad return considering the on-the-run 5-year treasury is currently yielding 118 basis points....
The trend is your friend, so they say…as long as you are on the right side of it. That saying is particularly relevant to the trend in bond yields (30-year down 7bps) as today we get new all-time lows in the US long bond despite...
The spread between 30-year treasury yields and 10-year treasury yields fell to 65 basis points yesterday which is the lowest spread since January 21st, 2009. Since April 2013, the spread has narrowed by 59 basis points. As the long end has flattened, the spread between...
In case some of our readers aren’t familiar with the popular picture book/game series entitled Where’s Waldo, here’s a quick run down of how it works....
For about 15 days between the end of August and mid-September the action in the treasury bond market deviated from our model comparing bond yields to the change in the size of the Fed’s balance sheet....
With today’s action in the bond market (30-year treasury yields made new 1-year lows, finishing down 6bps, and 10-year treasury bonds nearly made new 1-year lows, finishing down 4bps), the long end of the yield curve is the flattest it’s been since the fall of...
Despite today’s modest uptick in treasury bond yields, the downward trajectory in yields coinciding with the Fed’s tapering of asset purchases remains firmly intact. Admittedly we’ve been harping on this point now for months, so we’ll keep this post short and sweet....
Barely a week after 2Q GDP and a slue of revisions indicated that the economy has performed better initially indicated in the first half of 2014, bond yields are again making new 1-year lows....
