Very brief blog post this month; I'm deep into book writing mode at the moment. Chanelling Clif Assness, I'm just going to present a few charts and lead you to draw your own conclusions.
Excess / futures returns from portfolio of 60% S&P 500, 40% US Ten year treasuries (Authors own data)
Jorda et al “The rate of return on everything” QJE 2019
One year rolling correlation of S&P 500 and US 10 year bond daily % returns (Source; Authors own data)
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| US inflation rate https://tradingeconomics.com/ |
Source: https://www.currentmarketvaluation.com/
US 10 year interes rates. Source: tradingeconomics.com
And finally, for those who didn't get the Monty Python reference:
Footnote: The computing language, python, in which my trading system is written was named after Monty Python not the snake. Hence a certain publishing company that likes putting animmals on the front of their IT reference books might consider replacing the snake with a parrot...
