The blog shares commentary on capital markets, interest rates, fixed-income securities, and the yield curve. Posts cover topics ranging from auction analysis to regime detection to yield curve similarity measures.
Instructions
Notes
Treasury implied volatility has risen while stock implied volatility remains low. Comparing the two indexes shows where market stress comes from. It does not predict stock returns, bond returns or the next rise in volatility. Converted to common units, the comparison helps forecast how volatile stocks will be relative to intermediate Treasuries over the next month.
Treasury yields rose again in 2026, and commentary describes a continued bond sell-off. Six iShares Treasury ETFs show that most of the losses occurred between August 2020 and October 2023. Since the October 2023 low, five of the six funds have trended upward. The 2026 decline is small next to the earlier losses.
A Treasury fund's yield forecasts its return best over a holding period of about twice the fund's duration and less well over shorter periods. The post tests the claim on fifty-seven years of constant maturity data for four tenors and ends with four rules.
We got our initial study wrong. We're owning up to it and fixing the analysis.
SweePro turned $100,000 into $138,472 since 2007. Here's how to backtest your own T-bill rotation rule against that same benchmark and then execute it.
A $100,000 sleeve in SweePro grew to $138,472 since 2007, net of fees. The same money in BIL grew to $129,881, and took a deeper drawdown getting there. One monthly review, twelve tenors, the front of the Treasury curve.
Apple manages its idle cash via a billion dollar bond book out of a Reno office. Is it possible to use the humble T-bill to manage your idle cash just as effectively?
This week's 10-year and 30-year auctions both printed soft while 2-year demand stayed near multi-year highs. What bid-to-cover measures, where each tenor stands today, and two case studies that show when one weak auction is noise and when it's signal.
Carry is the income a bond earns above its funding cost. Rolldown is the price appreciation from aging down a positively sloped curve. Together they define the baseline return of every duration position. A walkthrough using today's curve.
The 2s10s steepener requires 4x capital, carries flat, and just ran into a bear flattener. Three calculators put exact numbers on every dimension of the trade's failure — tenor by tenor, basis point by basis point.
Treasury sold $183 billion in notes during the first week of the Iran war. The grades: D, C-, D+. Four auction metrics reveal where demand disappeared.
We built a daily CFA-level quiz, then four more calculators to help you study for it.