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2022-09: US Interest Rate Rally
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.