IVOL News and Press, Quadratic Interest Rate Volatility and Inflation Hedge From 10/26/21

The gap between the unadjusted and adjusted spreads was 0.44 ppts as of 9/30. Analysts often look at the five year five year forward as an indicator of inflation over the five years five years from now. If one believed in the DKW adjustment (and that adjustment held constant over ...

It's hard to see the economy stumbling when liquidity is super-abundant and borrowing costs are incredibly low. Even if the Fed finishes its tapering and starts raising its target funds rate well before anyone currently expects them to, they will still have to counteract the super-abu...

We view the U.S. Treasury yield spike as resolving a disconnect between the powerful restart and lower yields in recent months, and stay tactically pro-risk. U.S. 10-year yields jumped to the highest level in three months. Markets are prone to volatility, but ultimately we see yields ...

Most of the market “data” everyone obsesses about is just noise, especially when it comes to economic data. We just finished another quarter during which a lot of things were supposedly newsworthy but somehow produced almost nothing in the way of major market movements. ...

Mid and small-cap value continue to outperform their respective “growth” factors YTD. Only large-cap growth is beating large-cap value YTD. At some point, large-cap growth will go out of favor and it could last a while. For further details see: Style Box Up...

A fixed income investment can serve as diversifier against equities, a source of income, or even protection against inflation when using TIPS. As interest rates and inflation expectations evolve, a tactical rules-based approach to portfolio optimization can help provide investors with...

For much of the time since the Fed first took action to shore up the economy after the pandemic started, the timeline for lifting off the current zero lower bound Fed funds target has been 2023. Now, however, a full half of the FOMC members expect that rates will begin to go up in 202...

Consumers are experiencing inflation at the pump and the grocery store while businesses are feeling pressure from supply chain bottlenecks and rising input costs. For investors, the best thing to do is to try to inoculate the portfolio against those higher inflation readings. The firs...

The Evergrande saga continues to dictate daily ups and downs in the rates market. Government bonds benefit from safe haven demand despite stagflation fears and the risk of central bank response, but these haven’t disappeared. USD and GBP curve flattening seem like the most ...

We remain pro-risk and opt to look through any short-lived volatility that could result from a battle over lifting the U.S. debt limit and funding the government. U.S. consumer price increases slowed in August, but inflation pressure has broadened to core items less affected by the pa...