Sum of every possible USTS Yield Spread

What happens if you take every possible US Treasury Yield spread and sum them all together?

You get the chart shown on top.

$SPX is shown on the bottom for comparison.

Vertical lines show where it has crossed below zero in the past.

It just crossed below zero again.

Bình luận:

Here are all the yield spreads:

DGS6MO - DGS3MO + DGS1 - DGS3MO + DGS1 - DGS6MO + DGS2 - DGS3MO + DGS2 - DGS6MO + DGS2 - DGS1 + DGS3 - DGS3MO + DGS3 - DGS6MO + DGS3 - DGS1 + DGS3 - DGS2 + DGS5 - DGS3MO + DGS5 - DGS6MO + DGS5 - DGS1 + DGS5 - DGS2 + DGS5 - DGS3 + DGS7 - DGS3MO + DGS7 - DGS6MO + DGS7 - DGS1 + DGS7 - DGS2 + DGS7 - DGS3 + DGS7 - DGS5 + DGS10 - DGS3MO + DGS10 - DGS6MO + DGS10 - DGS1 + DGS10 - DGS2 + DGS10 - DGS3 + DGS10 - DGS5 + DGS10 - DGS7 + DGS20 - DGS3MO + DGS20 - DGS6MO + DGS20 - DGS1 + DGS20 - DGS2 + DGS20 - DGS3 + DGS20 - DGS5 + DGS20 - DGS7 + DGS20 - DGS10 + DGS30 - DGS3MO + DGS30 - DGS6MO + DGS30 - DGS1 + DGS30 - DGS2 + DGS30 - DGS3 + DGS30 - DGS5 + DGS30 - DGS7 + DGS30 - DGS10 + DGS30 - DGS20

That's an algebraic expression which can be simplified:

7*DGS20 - 9*DGS3MO - 7*DGS6MO - 5*DGS1 - 3*DGS2 - DGS3 + DGS5 + 3*DGS7 + 5*DGS10 + 9*DGS30

You can feed that into TradingView to get the indicator chart.

Bình luận:

Value is now at -3.51.

It's below the pre-covid level.

Now at 2007 levels.