Tuesday, October 6, 2009

Yield Curves, Portfolio and Implications

We have update the yield curve data and have also looked at the Baseline Portfolio again. The data is presented here.

The yield curve as of yesterday is shown below. It appears to flatten at the 20-30 year levels.


















We show the variation in the 90 day and 10 year rates and their spread below.



















The spread is depicted by itself below. This is the 90 to 10 year spread.



















There is little variation at this time. The FED seems to be holding this in control. The spread is back down to where it was at the beginning. The rates show some volatility.

We show several date and their rates. Again the variability seems minor at this time.



















Finally we show our baseline portfolio below.



















The annualized return has remained relatively fixed at almost 20% for the past few months. These data sets combined seem to reflect a relative stable short term economy.