Indices Rebalance Friday

Index funds could experience slightly more trading than usual on Friday.  Company’s shares outstanding change from time to time due to buy-backs, issuance for employee options or other events. The percentage of shares in float — not closely held — also change from time to time.  In theory S&P Dow Jones could update data on Read more […]

Volatility – Are You The New Kid On The Block?

Just an aggravating stat for all those who keep talking about the enormous volatility. The historical average intraday high price over the intraday low price is a swing of 1.482%, with a 1% variance (high / low) occurring 71.3% of the time over the past 50 years. The 2013 year-to-date average is a 0.916% variance, Read more […]

IMF Cuts US Growth Forecast, Market Reacts

The IMF released its latest forecast of US economic growth and US economic policy this afternoon, sending the S&P 500 and the Dow into negative territory.  While the market response is likely to be forgotten by next Monday, the IMF’s comments are worth consideration.  The forecast sees 1.9% real GDP growth in 2013,  2.7% in 2014 Read more […]

A PIP Off the Old Block

The staff of the Financial Industry Regulatory Authority (FINRA) recently issued an opinion letter discussing the use of “pre-inception index performance (PIP)” data in communications about exchange-traded financial instruments.  Importantly, the letter permits the use of PIP data (i.e., backtested or simulated results) in presentations to institutions (although not to retail investors). No good deed Read more […]

Bank loan tracked by the S&P/LSTA U.S. Leveraged Loan Index is down 0.34% so far in June while high yield bonds are down 1.51%.

U.S. Treasury Bonds: Treasury notes and bond as measured by the S&P/BGCantor US Treasury Bond Index started the year in negative territory, finally getting their head above water on a consistent basis around the beginning of April.  The positive returns did not last long as they slipped into negative territory on May 13th and have Read more […]

Shorter Duration Munis Hold Up While Longer Duration Munis Tumble

Duration is everything in a rising interest rate market. Short term municipal bonds have fared better than their longer term counterparts as money moves out of bond funds. The S&P Short Term AMT-Free Municipal Bond Index has seen its weighted average yield remain fairly steady and has recorded a modestly down June so far of Read more […]

Senior Loans & High Yield Bonds

Duration is everything in a rising interest rate environment.  Senior loans, as tracked by the S&P/LSTA U.S. Leveraged Loan 100 Index are down 0.34% month to date. These floating rate below investment grade loans have seen their weighted average yield rise by 19bps since May month end.  Meanwhile, fixed rate high yield bonds tracked in Read more […]

Looking Back When Interest Rates Rose

With all the discussion about what might happen were interest rates to rise, it is worth looking at what has happened before. In 1994 the Fed tightened policy and interest rates rose faster and higher than investors expected.  The chart shows the yield on ten year treasury notes — the same instrument everyone is talking Read more […]

High Yield Bonds See Yields Continue to Rise

High yield corporate bonds as tracked by the S&P U.S. Issued High Yield Corporate Bond Index have seen yields rise about 56bps since month end May driving a negative total return of 1.38% so far for June 2013. High yield municipal bond yields have risen by 30bps in the same time period as the S&P Read more […]