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.
| Sym | MDD | (%MDD) | STD | Yield |
|---|---|---|---|---|
| AGG | 0.39 | 0.35% | 0.15 | 3.54 |
| SHY | 0.03 | 0.04% | 0.01 | 1.13 |
| LQD | 0.78 | 0.63% | 0.31 | 4.81 |
| CSJ | 0.17 | 0.16% | 0.06 | 2.79 |
| CIU | 0.34 | 0.30% | 0.12 | 4.20 |
| JNK | 0.13 | 0.32% | 0.05 | 10.16 |
| HYG | 0.33 | 0.36% | 0.13 | 8.68 |
| MUB | 0.28 | 0.25% | 0.11 | 3.53 |
| MBB | 0.18 | 0.17% | 0.07 | 3.58 |
| CMBS | 0.09 | 0.17% | 0.07 | |
| TIP | 0.5 | 0.41% | 0.19 | 2.48 |
| EMB | 0.75 | 0.62% | 0.27 | 4.93 |
| ELD | 0.16 | 0.30% | 0.06 |
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