Archive | May, 2014

Bond Yields Approaching 1-Year Lows

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The US 10-year bond has dropped by 8 bps today and has slammed through what was looking like support around the 2.50% level. If it closes at current levels than this will be the lowest close since 6/20/13. The 30-10 spread has widened by 7 bps during May, however, it is still down YTD.

Where Art Thou Volatility?

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Over the past 31 days, volatility in the MSCI World, as measured by the standard deviation of the daily percent change in the index, has fallen to levels last seen in November 2006. The 252-day moving average (one year’s worth of trading days) has fallen to levels last seen in August 2007.