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.
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.
Note
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.
Note
Value is now at -3.51.It's below the pre-covid level.
Now at 2007 levels.
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The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.