Thursday, March 25, 2010

Model morning....

More later but here is the model-run:

Inflation:  -105 bps (WTD: -135 bps)      
Note: Interesting how yield is up but inflation down = Debt risk?

Benchmark: -127 bps (WTD: -60 bps)

Inv.Bk 60/40: -113 bps (WTD: - 45 bps)

Doom-and-Gloom: +118 bps (WTD: -107 bps)
Note: Getting hurt by FI position which is closed on the close of business.
IEF sold w. loss @ 89.45

Macro Old Style: + 60 bps (WTD: -120 bps)
Note: Bought USDJPY yday - YCS ticker

The big move was the massive 10 YR spike in rates. (Click on chart for larger versions)






Same chart but weekly:




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