Wednesday, September 21, 2011

Fixed Income vs Equities Dislocation... Which is Right?

Over the past ten years (less so prior), the relationship between the change in the 10 year Treasury yield and the change in the S&P 500 has been strong with the 10 year Treasury leading. Note the breakdown in the relationship over the past year (perhaps due to Fed intervention).


  1. Are you shure there is a breakdown in relationship? To me it looks more like a level shift at a certain break, while the relationship still exists.

  2. True. The second derivatives are moving in the same direction, but there is a shift.