Chart of the day: U.S. Treasury losses in perspective

By Sober Look On Aug 27, 2013

The histogram below shows the total return of long-dated treasuries over a rolling 4-month period since 2007. The rationale for using a 4-month period is that the climb in long-term rates started 4 months ago (a 3-month period produces a very similar result.) The leftmost bucket contains five periods that constitute the worst treasury losses since 2007. All five of these periods ended within the past 10 days, indicating that the recent losses are the worst in at least 6 years.

For those who have access to this index on a total-return basis going back further that 2007, it would be interesting to see how far back one actually has to look to find an equivalent correction to bond prices.

Sober Look 181 posts 0 comments

Sober Look is a no-hype financial markets/macro blog that typically relies on data analysis, primary sources, and original materials. We keep it concise, to the point, with no self-promoting nonsense, and no long-winded opinions. If you are looking for Armageddon predictions or conspiracy theories, you will be thoroughly disappointed. Topics include financial markets, banking, asset management, risk management, derivatives, global economy, policy, and regulation, with the emphasis on finance education. Follow him on his blog or twitter.

Fed to QE-Exit Whacked Emerging Markets: Drop Dead

Central bankers, unsustainable Imbalances and the crisis in emerging markets

Comments are closed.