S&P 500 vs. U.S. Treasuries

S&P 500 vs. U.S. Treasuries Despite its all-time high, the S&P 500 is below the Bloomberg Barclays U.S. Treasury Index. Picture Source: Bloomberg

Correlation Between S&P 500 and U.S. Treasuries

Correlation Between S&P 500 and U.S. Treasuries This chart shows the correlation between stocks and bonds, which could affect a balanced 60/40 portfolio. Picture source: Arbor Research & Trading LLC

Foreign Holdings of U.S. Treasury Securities by Selected Countries

Foreign Holdings of U.S. Treasury Securities by Selected Countries Japan and China are the two major foreign holders of U.S. Treasury securities. Currently, Japan surpasses China as largest foreign holder of U.S. Treasuries. Picture source: Goldman Sachs Global Investment Research

Dividend Yield of S&P 500 Components

Dividend Yield of S&P 500 Components Yields on equities seem competitive vs. U.S. Treasuries, but equity risk does not disappear because a company pays a dividend. Picture source: Bespoke Investment Group

Volatility Across All Asset Classes

Volatility Across All Asset Classes This chart shows the current high correlation of implied volatility across all asset classes to U.S. Treasuries (MOVE). Picture source: Arbor Research & Trading LLC

Survey: What Is The Most Effective Risk-Off Hedge?

Survey: What Is The Most Effective Risk-Off Hedge? In the latest BofA Merrill Lynch edition of the FX and rates sentiment survey, a majority of respondents preferred 10-year Treasuries as the most effective risk-off hedge. Only 6% of respondents chose gold and the yen. Picture source: BofA Merrill Lynch

When Treasury Inflation-Protected Securities (TIPS) Outperform?​

When Treasury Inflation-Protected Securities (TIPS) Outperform? The chart shows that Treasury Inflation-Protected Securities (TIPS) usually outperform regular Treasuries when the 10-year breakeven inflation rate is below 2%. The 10-year breakeven inflation rate is a market-based measure of expected inflation over the next 10 years. Picture source: Movement Capital LLC

QE to Infinity and Beyond?

QE to Infinity and Beyond? Analysts say the Fed will resume and buy “just” U.S. Treasuries next year. The Fed’s balance sheet should rise past its historic peak. Picture source: Bloomberg – Cartoon: Hedgeye Risk Management LLC