Sum of every possible USTS Yield Spread

١٦ سبتمبر ٢٠٢٢

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.

١٦ سبتمبر ٢٠٢٢

ملاحظة

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.

١٩ أكتوبر ٢٠٢٢

ملاحظة

Value is now at -3.51.

It's below the pre-covid level.

Now at 2007 levels.