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
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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.
Ian Harnett argues the 40-year stock-bond correlation regime is over. If he's right, most institutional portfolios are running unhedged risk they haven't priced.
Does adding gold to traditional stock-bond portfolios provide diversification? The answer is it (still) depends.