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5-year to 1-year US treasury yield spread | Asset-Specific Analysis | Aug 28 2019


VanAurum Analysis

VanAurum has identified a significant relationship between this signal and one or more of the 2-week, 2-month, or 6-month returns for at least one asset. These are shown below, along with the analytics for each:


FXI_D
126-day returns for the iShares China large cap ETF (FXI) where the 5-year to 1-year US treasury yield spread's close has been less than or equal to -0.37
Signal: 14.18

HYG_D
42-day returns for the iShares High Yield Corporate Bond ETF where the 5-year to 1-year US treasury yield spread's price proximity to the 190-day upper bollinger band has been less than or equal to -0.145515219830533
Signal: 6.77

SILVER_D
126-day returns for Silver where the 5-year to 1-year US treasury yield spread's close has been less than or equal to -0.37
Signal: -10.60

SPX_D
126-day returns for the S&P 500 Index where the 5-year to 1-year US treasury yield spread's price proximity to the 80-day upper bollinger band has been less than or equal to -0.192122480565195
Signal: 7.43

VNQ_D
126-day returns for the Vanguard real estate sector ETF where the 5-year to 1-year US treasury yield spread's close has been less than or equal to -0.37
Signal: -10.34

XLF_D
42-day returns for the SPDR financial sector ETF where the 5-year to 1-year US treasury yield spread's close has been less than or equal to -0.37
Signal: 8.05


26 indicators at extremes




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Market Extremes | 5-year to 1-year US treasury yield spread


Below is a table of market indicators for 5-year to 1-year US treasury yield spread that are exhibiting extremes. The chart above is a selection of indicators that VanAurum has calculated to be the most significant on a historical basis.

Note: you can sort by column by clicking on the column titles.

ID Date Asset Indicator Percentile Value
424929 08/28/2019 YC5Y1Y_D CLOSE 1.37447783317612 -0.37
424910 08/28/2019 YC5Y1Y_D PROXTOBOLL100 2.06227806610216 -0.174635065029769
424911 08/28/2019 YC5Y1Y_D PROXTOBOLL105 1.640016400164 -0.189832759732799
424912 08/28/2019 YC5Y1Y_D PROXTOBOLL110 1.49070021881838 -0.190386427714064
424913 08/28/2019 YC5Y1Y_D PROXTOBOLL115 1.36855070480361 -0.202141751518931
424914 08/28/2019 YC5Y1Y_D PROXTOBOLL120 1.19145439605587 -0.215587026221142
424915 08/28/2019 YC5Y1Y_D PROXTOBOLL125 1.30190489242154 -0.20981633465308
424916 08/28/2019 YC5Y1Y_D PROXTOBOLL130 1.34393856280856 -0.206691318685244
424917 08/28/2019 YC5Y1Y_D PROXTOBOLL135 1.23507616303005 -0.212963218571609
424918 08/28/2019 YC5Y1Y_D PROXTOBOLL140 1.22219170557539 -0.218248480197141
424919 08/28/2019 YC5Y1Y_D PROXTOBOLL145 1.12683798268517 -0.224164360443364
424920 08/28/2019 YC5Y1Y_D PROXTOBOLL150 1.12761276127613 -0.227575183567762
424921 08/28/2019 YC5Y1Y_D PROXTOBOLL155 1.2797578092748 -0.218808641345082
424922 08/28/2019 YC5Y1Y_D PROXTOBOLL160 1.29440925364913 -0.223707228481346
424923 08/28/2019 YC5Y1Y_D PROXTOBOLL165 1.15750310045473 -0.230049332404324
424924 08/28/2019 YC5Y1Y_D PROXTOBOLL170 1.13072255929399 -0.22626428887517
424925 08/28/2019 YC5Y1Y_D PROXTOBOLL175 1.18669794397682 -0.222773619783108
424926 08/28/2019 YC5Y1Y_D PROXTOBOLL180 1.29798398232532 -0.206014700785385
424927 08/28/2019 YC5Y1Y_D PROXTOBOLL185 1.50614895675003 -0.191931903375864
424928 08/28/2019 YC5Y1Y_D PROXTOBOLL190 2.51659292035398 -0.142932331500072
424903 08/28/2019 YC5Y1Y_D PROXTOBOLL60 2.51290410214616 -0.123563234072989
424904 08/28/2019 YC5Y1Y_D PROXTOBOLL70 2.85636561479869 -0.123250852440895
424905 08/28/2019 YC5Y1Y_D PROXTOBOLL75 2.20498162515312 -0.145022001893157
424906 08/28/2019 YC5Y1Y_D PROXTOBOLL80 2.08390084445655 -0.156550956782789
424907 08/28/2019 YC5Y1Y_D PROXTOBOLL85 2.09895052473763 -0.158370582645488
424908 08/28/2019 YC5Y1Y_D PROXTOBOLL90 2.07310420076378 -0.16783579270354
424909 08/28/2019 YC5Y1Y_D PROXTOBOLL95 2.29288931349802 -0.160504980085592