Feb

28

Fed Model

February 28, 2021 |

Looking at the 10year bond rates I see a roughly 1.5% yield and another 0.9% from rolling down the yield curve. Total carry ~2.4%

If you adjust that to match equity volatility you get multiplier of 2. So on vol/risk/duration adjusted basis bonds have 4.8% yield
Looking at the sp500 fwd earnings yield I see it stands at 4.5%
Bonds have become again an equity competitor
Perhaps this is the start of the move of tectonic plates

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