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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