Curve Steepeners & Flatteners

I actually have a Peter Bernstein book on my nightstand (The Power of Gold).  RIP to one of the best financial writers ever.


One of my favorite blogs (if not #1) gets a redesign.  Congrats Abnormal Returns!


There is a lot of talk lately about trading the yield curve, steepeners, flatteners etc (and here and here).  Forest from the trees, I would much rather be on the flattening side than the opposite.  It seems like a simple mean reverting series. 

I wrote about how much risk was mispriced back in June 07, and now it seems to have reversed to the opposite (obviously more in Jan but still high).  Some historical yield curve charts below – all relative to T-Bill (and yes I know there are a gazillion variations of yield curves).

Data from Global Financial Data.

Note: I am having WordPress issues so apologies for the charts.

Larger BAA here.

Larger AAA here.

Larger 10yr here