Duration has been “killed” by financial markets over the past year, which carries repercussions for all asset classes. How can you track duration across assets and is the duration sell-off over?
I was not expecting to see Healthcare on the far right of that duration chart. Given the large cash flow and dividend profiles of Managed care, Big Pharma and Medical Devices, I would expect it to be lower. It makes sense if you consider all of the biotech types however
One could almost say that the guys at the Fed are geniuses, because they got 7-9 hikes priced into the market while the S&P sits just 3.5% below its all-time high. At least stocks have the advantage that "duration measures for stocks tend to become guestimates" while for bonds it's tragically mathematical 🙂
Great article and thanks for that. I was surprised by "Healthcare," but did you mean young biotech here? I agree with your opinion about the neutral rate. The funny thing is that market is pricing the second strongest tightening cycle from 94 in the US. I'm very doubtful of this "massive hiking cycle" to believe it will be that case with such amount of public or private debt, many zombie companies, and other political/social factors.
So duration must be linked to demographics. Stocks only go up so long as more are putting 401k into the market vs those retiring and pulling cash out to live on. Right?
I was not expecting to see Healthcare on the far right of that duration chart. Given the large cash flow and dividend profiles of Managed care, Big Pharma and Medical Devices, I would expect it to be lower. It makes sense if you consider all of the biotech types however
One could almost say that the guys at the Fed are geniuses, because they got 7-9 hikes priced into the market while the S&P sits just 3.5% below its all-time high. At least stocks have the advantage that "duration measures for stocks tend to become guestimates" while for bonds it's tragically mathematical 🙂
Great article and thanks for that. I was surprised by "Healthcare," but did you mean young biotech here? I agree with your opinion about the neutral rate. The funny thing is that market is pricing the second strongest tightening cycle from 94 in the US. I'm very doubtful of this "massive hiking cycle" to believe it will be that case with such amount of public or private debt, many zombie companies, and other political/social factors.
So duration must be linked to demographics. Stocks only go up so long as more are putting 401k into the market vs those retiring and pulling cash out to live on. Right?
Why the use of EDZ3 (3m Euro$ Futures)?