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2022-09: US Interest Rate Rally

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2022-09: US Interest Rate Rally

Time Series Terminal
Sep 20, 2022
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2022-09: US Interest Rate Rally

tsterm.substack.com

As of Mon 19 Sep 2022, based on 2-day ahead prediction results,

For US 5-, 10-, 20-, 30-Year Real Interest Rates as target, the common predictors are

  • US 6-month interest rate DTB6

  • US 10-Year interest rate DGS10

  • Johnson and Johnson JNJ (pharmaceutical)

  • Danaher DHR (medical research)

  • Synopsys SNPS (industrial, semiconductor design/simulation)

The 6-month rate being higher than the 10-Year rate comes to the engine’s attention. For pharma companies, their underpinning business income could stay stable over years, the stock’s fluctuation could be a reflection of the market’s financial condition.

On the side of US equity, for QQQ, SPY, DIA as target, common predictors are

  • US 10-Year interest rate DGS10

  • United States Natural Gas Fund UNG (energy)

  • Lululemon Athletica LULU (consumer)

  • General Electric GE (industrial)

DGS10 started rallying from March, UNG bottomed out in July, LULU bottomed out in May, GE bottomed out in July.

So DGS10 occupies a central role. On Time Series Terminal, if one searches for “10-Year” or “DGS10”, one could see which information is predictive of DGS10 2 days out. Spoiler: equity.

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2022-09: US Interest Rate Rally

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