Tuesday, November 6, 2012

Election Day Yields

What does the fixed income market look like after a horrible superstorm and on the an election day which may or may not be decided quickly? Since the announcement of QE Unlimited, mortgage-backed securities prices have come down quite a bit as has their commercial MBS cousin. In fact, MBSes have been pulling back pretty much all day. Emerging market debt has pulled pulled back. The following table shows the 1 week max drawdown, max drawdown as a % of principal, and standard deviation of prices for several fixed income ETFs. I bond (savings bond) rates have been reset to a mere 1.76% due to persistently low CPI numbers.

SymMDD(%MDD)STDYield
AGG0.390.35%0.153.54
SHY0.030.04%0.011.13
LQD0.780.63%0.314.81
CSJ0.170.16%0.062.79
CIU0.340.30%0.124.20
JNK0.130.32%0.0510.16
HYG0.330.36%0.138.68
MUB0.280.25%0.113.53
MBB0.180.17%0.073.58
CMBS0.090.17%0.07
TIP0.50.41%0.192.48
EMB0.750.62%0.274.93
ELD0.160.30%0.06

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