Research from a primary dealer....it's all set up for all pullback
in equities. We even got a nice doji today
End
of the month time and with equities at all time highs, it's time to
start thinking about what the pension community is going to do to
re-balance. Just back of the envelope stuff here that I worked up
over the past year but pretty interesting. I'm basing this off of
where we are today (5 business days from the end of the month) and
looking at what the S&P and 30yr UST then did as we went into
month end. I've highlighted every month where the S&P has been
up over 1% in
green5
days before month end (1st is the date and 2nd column S&P
percentage move up until that point). Then in the next two columns
you can see the move in the 30yr UST yield and % change in equities
over remaining trading days into actual month end. As you can see
with the exception of November (when we were in the midst of
the Trump/convexity sell-off), the long bond has rallied an
average of -6.1bps. With the S&P up +3.7% so far in February,
time to buy the long bond as pension/insurance reallocates to the
long end?
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End of month reallocation
Posted by ruscitti on 22nd of Feb 2017 at 06:15 pm
Research from a primary dealer....it's all set up for all pullback in equities. We even got a nice doji today
End of the month time and with equities at all time highs, it's time to start thinking about what the pension community is going to do to re-balance. Just back of the envelope stuff here that I worked up over the past year but pretty interesting. I'm basing this off of where we are today (5 business days from the end of the month) and looking at what the S&P and 30yr UST then did as we went into month end. I've highlighted every month where the S&P has been up over 1% in green 5 days before month end (1st is the date and 2nd column S&P percentage move up until that point). Then in the next two columns you can see the move in the 30yr UST yield and % change in equities over remaining trading days into actual month end. As you can see with the exception of November (when we were in the midst of the Trump/convexity sell-off), the long bond has rallied an average of -6.1bps. With the S&P up +3.7% so far in February, time to buy the long bond as pension/insurance reallocates to the long end?