Sample Our Reports, Presentations, & Market Insights
Fannie’s Duration Gap Update The attention Fannie Mae’s duration gap has garnered highlights how difficult it is to hedge this massive portfolio. We believe they have no choice but to incur interest rate risk. This is a nice way of saying...
Examples of Mutual Funds Outflows Not Beginning Until The Public’s Breakeven Point Is Crossed For years we have been tracking the public’s average purchase price, or their “breakeven” point, for mutual fund holdings. It has...
Inflation Watch Update The attached tables update inflation rates through September 2002.
Mutual Fund Flows Update Are Equity Levels Below The Public’s Breakeven Point? Decision Time For Stock Fund Investors The public’s unrealized profits have remained above their average cost level since October 1990. Now these profits may...
September Total Return Review The attached tables update the total returns through September. A look at the total returns of the S&P 500 on a historical basis. Just how bad is this bear market?
U.S. Treasury’s International Capital Statistics Update If Fannie’s duration gap announcement is the start of an education program about what Fannie and Freddie are and are not, will it lead to foreigners reassessing their Agency debt...
October 2002 Presentation Package Presentation package used in San Francisco on October 2, 2002.
Fannie Mae’s Duration Gap And Why Rates Fell In September Audio If we assume Fannie Mae’s mortgage portfolio has the characteristics of the Merrill Mortgage Master Index (how can it not – its portfolio was $740 billion in August,...
Is the Convexity Trade “Getting Away” from Fannie? Are They the Next LTCM? Audio Fannie Mae’s predicament is more than an issue for mortgage players. Their sheer size affects all fixed-income players. Our biggest fear is that they...
A Primer on the Convexity Trade: What it is, Who does it, and Why If you don’t trade in mortgages or agency securities, why should you care about what Fannie or Freddie is doing? Simply, we believe the convexity trade is the primary driver of...
Part 2: Swaps Spreads: They Are More Important Than You Think Is the Market “Sensing” a Financial Crisis is Coming? Audio It is very rare for all markets to trade with a high degree of correlation to a slumping S&P 500. When it...
Is the Market Responding to the Accounting Scandals Rationally? A Look at “Reported” vs. “Operating” Earnings for the S&P 500 Audio The market appears to be acting rationally when it comes to the accounting scandals....