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yieldcurve.pro
yieldcurve.pro
@yieldcurve.pro
2 followers 65 following 29 posts
Sharing thoughts on capital markets, interest rates, fixed-income, government backed securities, quantitative portfolio management, and (of course) the yield curve.

https://www.yieldcurve.pro/
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yieldcurve.pro
Adding Resilience To 60-40 Portfolios

https://www.yieldcurve.pro/blog/adding-resilience-to-60-40-portfolios

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Adding Resilience To 60-40 Portfolios
How can we complement traditional 60-40 portfolios with alternative sources of return that provide diversification?
www.yieldcurve.pro
January 28, 2026 at 4:00 AM
yieldcurve.pro
Today's yield curve vs last year's.

The 1 year change in the yield curve level and slope was -41 bps and +28 bps, respectively.

https://www.yieldcurve.pro/curves

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yieldcurve.pro - curves chart
January 28, 2026 at 4:00 AM
yieldcurve.pro
This #$BOXX works in any market.
alphaville.ft.com FT Alphaville @alphaville.ft.com · 1d
A long read on the awfully exciting world of mystery boxes that work except when they don't.

www.ft.com/content/1831...
The quant shop — AI lab convergence
Alpha 🤜 🤛 AGI
www.ft.com
January 28, 2026 at 1:49 AM
yieldcurve.pro
We have a number of cool preset dates that show interesting periods in yield curve history.

One of them shows the most similar yield curve to today's:

www.yieldcurve.pro/curves?prese...

For example, the November 2, 2007 curve is most similar to today's.

Interesting...no?
January 27, 2026 at 11:42 PM
yieldcurve.pro
What is a better cash management strategy?

Integrating with jiko.com or simply owning the #$BOXX ETF?

We're fans of both but prefer #$BOXX.
January 27, 2026 at 7:41 PM
yieldcurve.pro
• How do you guys set market alerts to flag when a specific tenor reaches a yield target? 🤷‍♂️
• Is this view really contrarian? 👇

https://www.bloomberg.com/news/articles/2026-01-27/bond-market-contrarians-look-to-buy-us-30-year-near-5-yield
January 27, 2026 at 4:31 PM
yieldcurve.pro
Give this historical paper a read

https://www.yieldcurve.pro/static/papers/lehman_fx_manual.pdf

This and other classic sources hosted for free at yieldcurve.pro

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Lehman Brothers Foreign Exchange Training Manual
This classic document covers spot transactions, forwards, swaps, and options. Designed for traders, it includes practical examples, calculations, and scenarios that illustrate how to manage positio...
www.yieldcurve.pro
January 27, 2026 at 4:00 PM
yieldcurve.pro
Front End Monitor

Yield (1W chg bps)
1 Mo: 3.77% (+2)
3 Mo: 3.67% (+0)
6 Mo: 3.62% (+2)
1 Yr: 3.52% (-3)

Fed funds: 3.75%
3Mo near Fed funds (-8 bps)

Front end inverted: 1Yr-1Mo = -25 bps

https://www.yieldcurve.pro/levels

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Front-end Treasury yields (1Mo to 1Yr) over the past quarter
January 27, 2026 at 10:00 AM
yieldcurve.pro
Essays On Trading Strategy by Graham L. Giller

This book focuses on practical trading strategies...

https://www.amazon.com/Essays-Trading-Strategy-Scientific-Finance/dp/9811273812/?&_encoding=UTF8&tag=yieldcurvepro-20&linkCode=ur2&linkId=28bd1311427606e3d389725b44c61c55&camp=1789&creative=9325

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yieldcurve.pro - Essays On Trading Strategy book cover
January 27, 2026 at 4:00 AM
yieldcurve.pro
Federal Reserve rate update.

The current Fed Funds Rate sits at 3.75% compared to the 2 Yr Note at 3.56%.

Everyone knows we should replace the FOMC with the 2 Yr Note anyway. 🤓

https://www.yieldcurve.pro/fed

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yieldcurve.pro - fed chart
January 27, 2026 at 4:00 AM
yieldcurve.pro
Weekly Yield Curve Recap

Yield (1W chg bps)
2 Yr: 3.56% (-3)
5 Yr: 3.82% (+0)
10 Yr: 4.22% (-2)
30 Yr: 4.80% (-3)

Biggest mover: 2 Yr (-3 bps)
2s10s little changed (+1 bps)
Regime: Bull Steep 🐂📈

https://www.yieldcurve.pro/levels

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Key Treasury yields over the past month
January 26, 2026 at 10:00 PM
yieldcurve.pro
Examining Yield Curve Similarity (Part 2)

https://www.yieldcurve.pro/blog/examining-yield-curve-similarity-part-2

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Examining Yield Curve Similarity (Part 2)
Revisiting different interest rate regimes.
www.yieldcurve.pro
January 26, 2026 at 4:00 PM
yieldcurve.pro
Yield Curve Butterfly: 2s/5s/10s

Current: +8 bps
1Y change: +5 bps

Body: 5 Yr
Wings: 2 Yr, 10 Yr

+ = humped (body rich)
- = cupped (body cheap)

https://www.yieldcurve.pro/levels

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Yield levels for 2 Yr, 5 Yr, 10 Yr over the past year
January 26, 2026 at 10:00 AM
yieldcurve.pro
Give this historical paper a read

https://www.yieldcurve.pro/static/papers/lehman_fx_manual.pdf

This and other classic sources hosted for free at yieldcurve.pro

✨
Lehman Brothers Foreign Exchange Training Manual
This classic document covers spot transactions, forwards, swaps, and options. Designed for traders, it includes practical examples, calculations, and scenarios that illustrate how to manage positio...
www.yieldcurve.pro
January 26, 2026 at 4:00 AM
yieldcurve.pro
Recent Treasury auction demand.

View all auctions at https://www.yieldcurve.pro/auctions

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yieldcurve.pro - auctions chart
January 26, 2026 at 4:00 AM
yieldcurve.pro
Treasury Auctions

Recent:
8W 01/22: C+
4W 01/22: C
10Y 01/22: C+

Upcoming:
13W 01/26
26W 01/26
2Y 01/26

Grading methodology:
https://www.yieldcurve.pro/blog/treasury-auction-grades-001

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Treasury 10-Year auction bid-to-cover ratio history
January 25, 2026 at 10:00 PM
yieldcurve.pro
Yield Curve History: January 25

Today's 2s10s spread: +64 bps

Same date in past years:
2008 (crisis): +138 bps
2019 (inversion): +16 bps
2020 (COVID): +21 bps
2022 (hikes): +76 bps

https://www.yieldcurve.pro/curves

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yieldcurve.pro
Interactive yield curve charts, Treasury auction analysis, FOMC rate decisions, and interest rate regime detection.
www.yieldcurve.pro
January 25, 2026 at 10:00 AM
yieldcurve.pro
Differences in Equity Sector and Government Bond Comovement

https://www.yieldcurve.pro/blog/differences-in-equity-sector-and-bond-comovement

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Differences in Equity Sector and Government Bond Comovement
In light of recent setbacks for 60-40 funds it interesting to examine the differences in comovements between equity sectors and government bonds.
www.yieldcurve.pro
January 25, 2026 at 7:42 AM
yieldcurve.pro
Current yield curve regime is Bear Steep.

🐻📈

Slope was constructed from 10 Yr and 2 Yr tenors with a 65 day lookback.

https://www.yieldcurve.pro/regimes

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yieldcurve.pro - regimes chart
January 25, 2026 at 7:42 AM
yieldcurve.pro
Yield curve slope measured using the 10 Yr Bond and 3 Mo Bill.

The current slope is at 54 bps. 📈

https://www.yieldcurve.pro/slopes

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yieldcurve.pro - slopes chart
January 25, 2026 at 4:00 AM
yieldcurve.pro
Give this historical paper a read

https://www.yieldcurve.pro/static/papers/lehman_fx_manual.pdf

✨
Lehman Brothers Foreign Exchange Training Manual
This classic document covers spot transactions, forwards, swaps, and options. Designed for traders, it includes practical examples, calculations, and scenarios that illustrate how to manage positio...
www.yieldcurve.pro
January 24, 2026 at 7:25 PM
yieldcurve.pro
Treasury yields for the 3 Mo Bill and the 10 Yr Bond.

The 3 Mo and the 10 Yr ended at 3.70% and 4.24%, respectively.

https://www.yieldcurve.pro/levels

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yieldcurve.pro - levels chart
January 24, 2026 at 5:00 PM
yieldcurve.pro
Great post from the St Louis Fed: Understanding the “Swoosh”-Shaped Yield Curve for Treasuries

https://www.stlouisfed.org/on-the-economy/2025/oct/understanding-swoosh-shaped-yield-curve-treasuries
January 23, 2026 at 11:25 PM