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January 5, 2007
The Yen Carry Trade’s Importance A global analysis of currency carry trades confirms the importance of the yen carry trade, and specifically the interest rate spread component of this trade, to global equity markets.
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January 3, 2007
Size Matters For Credit Ratings Long-term corporate bond credit ratings deteriorate markedly or even disappear as market capitalization declines. However, none of the patterns by size or economic sector are unexpected and no evidence exists of...
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December 13, 2006
Charts of the Week Topics Covered This Week Include: What About the Federal Fund Futures Market? Is A Hawkish Federal Reserve Causing A Bond Rally? Yield Curve, Convexity And Total Returns The Measure Of Core Inflation Problem? Detailing The Trade Deficit Measures of Leverage In The Bond Market Bond Market Volatility Primary Dealer Trading Volume… Continue reading Untitled
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December 4, 2006
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...
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November 17, 2006
Commitments of Traders Update/Analysis Statistics cover the CoT report for November 14. Further charts and comments include 2-Year Note Futures: Large Speculators Get A Change Of Heart Nasdaq 100 E-Mini Futures: It’s Beginning To Look A Lot...
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November 16, 2006
Inflation Watch Update The attached tables update inflation rates through October 2006. In this month’s update, we discuss how the significant drop in motor fuel prices and other components of the Transportation sub-index mask a continued push...
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October 6, 2006
Single Commodity Impact On Financial Markets After May 2006 The post-May 2006 downturn in many commodity prices produced few clear and direct changes in the course of various financial markets. As the “hot” phase of the commodity bull...
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October 2, 2006
Can The Fed Ease With Stocks And Core Inflation At Multi-Year Highs? While not the consensus yet, a growing number of economists and the deferred fed fund futures contracts are suggesting the Fed’s current “pause” is actually an...
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September 28, 2006
Mutual Fund Flows Update Tables updated through August 31, 2006 with data released September 28, 2006. Comments on Stock Funds, Bond Funds and Hybrid Funds, and the public’s break-even level.
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September 27, 2006
Conference Call Presentation/Charts of the Week Topics Covered This Week Include Low Stock And Bond Market Volatility Do Stocks Drive Yields? – 1 Do Stocks Drive Yields? – 2 Do Stocks Drive Yields? – 3 Are 10-Year Yields Really Low? The Bond Market Noticed The Tight Range! Bullishness From Speculators To Economists TIPS Inflation Breakeven… Continue reading
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September 18, 2006
U.S. Treasury’s International Capital Statistics Update Tables and comments detailing foreign investment through July 31, 2006 with data released on September 18, 2006. This month we highlight All Foreigners’ net purchases of U.S....
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September 13, 2006
Assessing Commodities’ Impact on Financial Markets Equity markets are not treating the recent commodity price downturn as a sign of impending global weakness. Patterns in sector credit default swap costs and industry group relative performance...