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.

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

QE3 Fixed Income Aftermath

So what happens to fixed income after QE3? I thought it would be interesting to look at the max drawdowns versus the current 30-day SEC yields for a select cross-section of the fixed income ETF space for the past 52-weeks. All yields are quite compressed as is expected. Yields are so compressed that only MBB (US agency-based mortgage bonds) has a 30-day SEC yield exceeding the max drawdown. TIPs have negative yield as was true for quite a while now. It seems the contagion of return-free risk has spread to most of the fixed income ETF universe at this point.