Valuation – U.S. 2-Year Real Rate and S&P 500 12-Month Forward P/E The low levels of U.S. 2-year real rates help to explain the U.S. stock market valuation. Image: Nordea and Macrobond
2-Year Fed Funds Expectations vs. U.S. 10-Year Treasury Yields There is a positive correlation between the change in Fed funds expectations and the change in U.S. 10-year Treasury yields. Image: BofA Global Research
U.S. Yield Curve – Spread Between the 10-Year and 2-Year Treasuries A steepening yield curve suggests a stronger economic growth and rising inflation. Image: CNBC
U.S. Real Yield Curve and 2-Year/30-Year U.S. Real Yield Curve Economic stress remains as the U.S. real yield curve remains in negative territory. Image: Morgan Stanley Research
MSCI USA Cyclical Sectors-Defensive Sectors Spread USD Index vs. 2-Year/30-Year U.S. Treasury Yield Curve This chart suggests that cyclical outperformance of defensives tends to be correlated with the shape of the 2-year/30-year U.S. Treasury yield curve. Image: Morgan Stanley Research
Expected Fed Funds Rate, Negative Interest Rates and 2-Year Treasury Yield Negative U.S. yields are in sight, as Fed funds futures for June 2021 imply an expected negative rate of -0.03%. Image: Fidelity Investments
S&P 500 Forward 2-Year P/E Ratio The U.S. stock market is pricing in a V-shaped economic recovery. Image: Goldman Sachs Global Investment Research
Small Caps: Russell 2000 Last 12 Month Performance Grouped by Stocks > 10-Years Old and < 2-Years Old Chart suggesting more alpha among “newer” Russell 2000 small cap stocks over the last 12 months. Image: Strategas
U.S./German 2-Year Yield Spread vs. U.S./Euro Foreign Exchange Rate This chart shows the Euro vs. US Dollar (EUR/USD) and how a wider U.S./German 2-year yield spread corresponds to a stronger US dollar. R² = 0.62 since 2005.
U.S. 10-Year/2-Year Yield Spread vs. Fed Funds Target Rate Interesting chart showing the U.S. 10Y-2Y yield curve steepness versus. the Fed funds target rate (inverted). Image: Credit Suisse