S2N Spotlight
I am travelling interstate with my family for a celebration and haven’t had the time to do meaningful research. I try to never miss a letter, so I will just share a few charts, as I have run out of time.
S2N Observations
It is good to look at the tightening cycle individually to get a sense of the cycle we have just been through (yellow).
I was looking through some of my charts, and this one stood out. I shift the Fed Funds Rate by 2 years, and I see a pretty interesting relationship with volatility.
Another interesting relationship is the dollar with the 10-year Treasury Yield.
The US yield curve has un-inverted (is that a word?). In the past this has not been good for the stock market.
The Australian yield curve un-inverted some time back in case you were wondering.
Performance Review
For those who are new to the letter, the shading is Z-Score adjusted so that only moves relevant to the symbol are highlighted. As you can see, yesterday was a big green day.