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.
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.
The second installment of Salomon Brothers' Understanding the Yield Curve series exposes the gap between forward-implied rate changes and actual market expectations, revealing persistent risk premia that inform modern fixed income strategies.
The first installment of Salomon Brothers' Understanding the Yield Curve series laid groundwork for systematic yield curve trading that remains relevant three decades later.