August and September are turning out to be two of the top ten best months for the long bond. Ever. Both had double digit returns.
In general, there is not a lot of statistical predictability if you look at just the return series. However, many of these great months came as the US was turning the corner on inflation in the early ’80s and at the early stages of a bull market. This hasn’t been the case since 2000 and you see a lot more reversion six months out after these big months…
