The rally in notes in August was underwhelming considering the VIX jumped from 12 to ~40, and a lot of that has already been reversed without a subsequent rebound in equities. This rally (which is hard to see on a chart in normal volatility!) is far less than it would've been in the 2010s.
More importantly though, and the point I was making in the newsletter, was that the curve would steepen, meaning that 10s would underperform 2s by a big margin, and that indeed did happen.
Thanks, great post !
Thanks, your pov is always much appreciated 👍
Very insightful post, thanks a lot Peter.
As bk hv! N
100 pct agree, between 2s,10s and steepener risk adjusted steepener is the best expression for portfolio risk off hedge.
When growth concerns are back bonds are very good portfolio diversifier to stocks. Aug so far just proved that.
The rally in notes in August was underwhelming considering the VIX jumped from 12 to ~40, and a lot of that has already been reversed without a subsequent rebound in equities. This rally (which is hard to see on a chart in normal volatility!) is far less than it would've been in the 2010s.
More importantly though, and the point I was making in the newsletter, was that the curve would steepen, meaning that 10s would underperform 2s by a big margin, and that indeed did happen.
https://x.com/countdraghula/status/1819562870373601663