Inflation Expectations & Relative Performance

For about six weeks, between the middle of January and the first week of March, inflation expectations embedded in the US Treasury market bounced after declining for the second half of 2014.

How Much Lower Can The 30-Year Treasury Yield Go?

Three weeks ago we mentioned how Fed assets were finally declining on a quarterly basis. Since then we have had a few more data points released and the trend is still downward.

Where Positive Economic Surprises Are (And Aren’t) Happening

There is a geographic disparity amongst the Citi Economic Surprise Index. Economies, both developed and emerging, are surprising to the upside in Asia and Europe while economies in the western hemisphere are not doing as well (at least in terms of meeting and exceeding expectations). Below we show some of the more interesting charts.

Ahead Of The FOMC Minutes: Fed Funds Rate Expectations Continue To Nose-Dive

Not even a month ago, we wrote about how it looked like the market was pricing in two rate hikes in 2015 and four in 2016. Well, apparently a lot has changed (at least regarding expectations) since then.

US Bond Update: High Yield Bonds and Equities Still Haven’t Converged and Corporate Yields At Historic Lows

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 points.

$20 Billion Jump In Margin Debt In February

NYSE margin debt increased by $20 billion in February. The one-month change is the largest change in 8 months. Margin debt is at the second highest level of all time and it currently stands just $787 million below the all-time high set in February 2014.

Assets At US Fed Are (Finally) Declining

Throughout QE3, one of our favorite charts to look at was the three-month change in total fed assets. You could overlay this series with bonds or stocks or other economic indicators and find some interesting relationship.

From 5-Years To 30-Years, TIPS Implied Inflation Expectations Are Under 2%

Inflation is falling and so are inflation expectations. We and the majority of the rest of the financial community have been highlighting this for most of 2015.

The Other “Most Crowded” Trade is (Still) to Short Long-term Treasury Bonds

In a nutshell, we are absolutely amazed at the amount of pain endured by speculators who are short long-term treasury bonds.

Why Not Just Buy The US 5-Year Treasury?

The collapse in yields around the developed world is startling. For fun, we wanted to see how many 5-year or longer dated government bonds are currently yielding less than the US 5-year on-the-run treasury bond (which is down 23 bps YTD itself).

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The launch date of the Knowledge Leaders Knowledge Leaders Developed World Index (Bloomberg ticker KNLGX is 7/1/14 and the base date of the index calculation is 3/31/2000. The launch date of the Knowledge Leaders Emerging Markets Index (Bloomberg ticker KNLGEX) is 9/2/14 and the base date of the index calculation is 4/1/2005. The launch date of the Knowledge Leaders International Index (Bloomberg ticker KNLGINX) is 8/15/16 and the base date of the index calculation is 3/31/2000. The launch date of the Knowledge Leaders United States Index (Bloomberg ticker KNLGUSX) is 8/15/16 and the base date of the index calculation is 3/31/2000. The launch date of the Knowledge Leaders Developed World ADR Index (Bloomberg ticker KNLGAX) is 9/13/16 and the base date of the index calculation is 3/31/2000. The launch date of the Knowledge Leaders International ADR Index (Bloomberg ticker KNLGINAX) is 8/30/16 and the base date of the index calculation is 3/31/2000.

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