VTIP News and Press, Vanguard Short-Term Inflation-Protected Securities From 11/08/21

It feels as if the 'Santa Claus Rally' has started early this year. If history is of any indication, we're due for another ~4% over the next 8 weeks. Nonetheless, things are getting more and more bubbly, and the combination of Tapering, higher inflation, and higher rates is anything b...

With the Q4 rebound on track and services picking up to offset some of the expected slowdown in goods spending and the announcement by Pfizer of an effective anti-viral for COVID, why did bonds rally? Why did interest rates fall so hard on Friday after the payroll report? Some said th...

For the five year five year forward inflation expectations inferred from market rates, there was a 27 bps jump going from 9/23 to 10/15, before retracing back to prior levels at end-October (and subsequently rising again). Kim, Walsh and Wei compare their implied expected inflation ra...

A strengthening greenback is consistent with previous Fed tapering episodes as shrinking Q.E. injections mean fewer dollars swirling around the globe. A rising dollar makes these critical imports more expensive for other countries, suppressing demand while producers ramp supply. A...

Policy markers insist on touting that inflation is only "transitory" as much as it can. This may serve their cause, but it has nothing to do with what's happening on the ground. Price pressures are running wild across almost every aspect of life. The implications of a "higher ...

Central bank policy makers appear to have a higher tolerance for inflation than in previous cycles, even more so because of QE. It is worth adding a note of caution when looking at breakevens. There is a massive mismatch between the supply of inflation linked bonds and the demand for ...

The recent run higher in the Sharpe ratio for the Global Market Index finally reversed in October. Risk-adjusted performance has slipped, but GMI's rebound in October lifted it to a new record high. GMI is useful as a baseline to begin research on asset allocation and portfolio de...

The long-run risk premium forecast for the Global Market Index (GMI) rebounded in October, edging up to 6.1%, based on revised numbers through last month. The new estimate is calculated in terms of the projected return over the “risk-free” rate, according to a risk-based...

US real estate investment trusts (REITs) and stocks posted the strongest returns for the major asset classes in October - by wide margins. US REITs surged 7.7% last month, reversing September’s sharp decline. The recovery puts American property shares in the lead for 2021 with ...

The sellers have been in control of the bond market. Put volume continues to outshine call volume at key strike prices on the SPY options. Nasdaq 100 index did not fare as well as SPX. For further details see: Options Market Remains Doubtful Of Rally