Topic: News – Commodities Are a Joke – RGE Monitor
Yesterday’s shellacking made it onto Macro Man’s list of top 15 worst market days since the end of the first world war. Somewhat ominously, Macro Man’s preferred (proprietary) measure of risk aversion has started heading lower again, having consolidated in the second half of November at levels suggesting that markets were merely “very” risk averse, rather than the prior shotgun-and-canned-goods of aversion prevailing in October. Coming at a time when declining asset performance has left a hole in pension funds’ balance sheets, lower long term rates make the asset-liability mismatch even worse. Whether it’s pension funds scrambling for duration or exotics desks scrambling for hedges, the performance of the 30 year swap in the US has been truly awe-inspiring. While 30 year swap spreads are off their lows, they still remain sharply negative; the latest print on Macro Man’s screen is – 43 bps. read more