We’ve seen a lot of crazy moves in the market over the last couple of weeks. From the massive rotation into value stocks from momentum last week to the moves in oil yesterday and today, it’s really hard to tell how the underlying trend in markets is going to play out. With all this uncertainty, you may be tempted to park some cash in treasuries until things settle down. The only problem with that strategy is that moves in the treasury market have been just as chaotic.
While risk-free rates are still at incredibly low levels relative to history, it masks the fact that long-term US Treasuries are having a horrible start to the month. Using the Merrill Lynch 10+ Year US Treasury Index as a proxy, in the first ten trading days of September, long-term US Treasuries fell 6.5% for their worst opening ten-trading day start to a month since at least 1987 (when daily data begins). In the span of about six weeks, long-term treasuries have seen their best monthly gain in nearly 11 years followed by their worst start to a month in at least 30 years. Perfectly rational. Start a two-week free trial to Bespoke Institutional to access our interactive economic, earnings, and seasonality tools.