Some Perspective On The Massive Rally In Treasuries

The first chart is an overlay of the CBOE Interest Rate 10-Year Treasury Note (TNX) and the S&P 500.

Over the timeframe shown below there has been a weak correlation between the two assets classes, with yields tending to lead changes in direction.

10-year yields have fallen dramatically since the 2010 high of 3.99 set on April 5th, three weeks before the S&P 500 2010 peak on April 23rd. They had rebounded since the 2.48 close on August 31. But the last few weeks have seen a significant decline.

The next chart shows the daily performance of several Treasuries and the Fed Funds Rate since 2007. The source for the yields is the Daily Treasury Yield Curve Rates from the US Department of the Treasury. The yields on the shorter maturities have taken a nosedive, with the 2- and 5-year note yields hitting historic lows.

For a long-term view of weekly Treasury yields, also focusing on the 10-year, see my Treasury Yields in Perspective, which includes a chart series I update monthly or more frequently if warranted.

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This post previously appeared at DShort.com >

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