We offer the following samples of our work. You can click on the links at right to view samples from a particular category.
September Total Return Review:So Much For Seasonal Patterns – Best September For Stocks Since 1939
The attached tables and comments update the total returns through September. ?? This past month proved to be the best September to own the S&P 500 since 1939. So what should investors expect going into October?
April Total Return Review: Treasuries Vastly Outperform Stocks Over The Past 10 Years
The attached tables and comments update the total returns through April. Over the last 10 years stocks have underperformed bonds to a degree not seen since 1941. Over this same period investors have ploughed most of their mutual fund money into stocks. Do they have it right?
November Total Return Review: Yield Curve, Convexity And Total Returns
The attached tables update the total returns through November. Total returns on long-term Treasuries resumed moving higher after the yield curve renewed its flattening in June 2006. This is consistent with earlier observations that the value of convexity would outweigh negative carry. It also raises the prospect that any relaxation of credit by the Federal Reserve and concomitant re-steepening of the yield curve will reduce the total returns on long-dated Treasuries.
June Total Return Notes: Market Transition Lifts Barbells
Long-duration bonds should do well when the end of federal funds rate hikes comes into view and the yield curve is inverted. Even so, the large gains seen in the cash+25-year strip barbell versus the five-year strip bullet is striking. June’s returns on 5-6 year government strips were negative, while the returns for both cash and the 15-20 year government strips were strongly positive. This is about as close to a perfect trade as any bullet/barbell combination is likely to get.