Comments on: Investing Based on the Yield Curve – REITs Like it Steep http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/ Stock Market and Investing Blog of Mebane Faber Tue, 11 Oct 2011 15:24:53 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: Daddy Paul http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-4323 Daddy Paul Thu, 11 Mar 2010 07:48:44 +0000 http://www.mebanefaber.com/?p=2655#comment-4323 Good read. Good research. I time the markets at least in part based on the yield curve. I have not broke the data down this way. Thank you! Good read. Good research. I time the markets at least in part based on the yield curve. I have not broke the data down this way. Thank you!

]]> By: Daddy Paul http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3804 Daddy Paul Thu, 11 Mar 2010 01:48:44 +0000 http://www.mebanefaber.com/?p=2655#comment-3804 Good read. Good research. I time the markets at least in part based on the yield curve. I have not broke the data down this way. Thank you! Good read. Good research. I time the markets at least in part based on the yield curve. I have not broke the data down this way. Thank you!

]]> By: Paul http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3784 Paul Wed, 10 Mar 2010 10:13:39 +0000 http://www.mebanefaber.com/?p=2655#comment-3784 Does it change depending on which way the yields are moving? eg if the yield difference fall from 3 to 2 do bonds perform differently compared to when the yield difference rises from 2 to 3? Does it change depending on which way the yields are moving? eg if the yield difference fall from 3 to 2 do bonds perform differently compared to when the yield difference rises from 2 to 3?

]]> By: S Sharma http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3769 S Sharma Sun, 07 Mar 2010 17:07:26 +0000 http://www.mebanefaber.com/?p=2655#comment-3769 Mebane,<br><br>Great Work.<br><br>What about TIPs?<br><br>Thanks<br>SS Mebane,

Great Work.

What about TIPs?

Thanks
SS

]]> By: fred http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3762 fred Thu, 04 Mar 2010 19:58:17 +0000 http://www.mebanefaber.com/?p=2655#comment-3762 MF-any interest in updating your equity curves assuming you bought the top asset classes in each "spread" bracket. I wonder if the more granular breakout changes much - or perhaps even changing the rule up a bit since a few of these brackets don't have a clear winner, but do have clear losers. (so rules would be <0, long comm/gold, 0-1 long all, except REIT, 1-2 long all except bonds, reits and gold, 2-3, long all except commodites/gold, >3, long reits, stock, etc) MF-any interest in updating your equity curves assuming you bought the top asset classes in each “spread” bracket. I wonder if the more granular breakout changes much – or perhaps even changing the rule up a bit since a few of these brackets don't have a clear winner, but do have clear losers. (so rules would be <0, long comm/gold, 0-1 long all, except REIT, 1-2 long all except bonds, reits and gold, 2-3, long all except commodites/gold, >3, long reits, stock, etc)

]]> By: WorldBeta http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3760 WorldBeta Thu, 04 Mar 2010 17:41:22 +0000 http://www.mebanefaber.com/?p=2655#comment-3760 Broadly similar except Mortgage REITs get hammered when yield curve flattens out or is negative. Broadly similar except Mortgage REITs get hammered when yield curve flattens out or is negative.

]]> By: WorldBeta http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3759 WorldBeta Thu, 04 Mar 2010 17:40:25 +0000 http://www.mebanefaber.com/?p=2655#comment-3759 GFD GFD

]]> By: WorldBeta http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3758 WorldBeta Thu, 04 Mar 2010 17:39:47 +0000 http://www.mebanefaber.com/?p=2655#comment-3758 Yep Yep

]]> By: toptick http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3756 toptick Thu, 04 Mar 2010 16:12:59 +0000 http://www.mebanefaber.com/?p=2655#comment-3756 It would be interesting to have a breakdown of equity vs. mortgage REITs. Mortgage REITs are a carry trade, so the correlation of curve to performance makes perfect sense. But how much do operating/equity REITs benefit from the curve? It would be interesting to have a breakdown of equity vs. mortgage REITs. Mortgage REITs are a carry trade, so the correlation of curve to performance makes perfect sense. But how much do operating/equity REITs benefit from the curve?

]]> By: tetranomad http://www.mebanefaber.com/2010/03/03/investing-based-on-the-yield-curve-reits-like-it-steep/comment-page-1/#comment-3755 tetranomad Thu, 04 Mar 2010 03:40:20 +0000 http://www.mebanefaber.com/?p=2655#comment-3755 Hi Meb,<br><br>What did you use for your yield curve data? I had a quick look from Pinnacle daily data 1982 on, and -ve yield curve is only about 6.9% of the time. But, I guess that probably just means that 1973-1982 had a much larger number of time periods with -ve yield curves.<br><br>Cheers,<br><br>Mark Hi Meb,

What did you use for your yield curve data? I had a quick look from Pinnacle daily data 1982 on, and -ve yield curve is only about 6.9% of the time. But, I guess that probably just means that 1973-1982 had a much larger number of time periods with -ve yield curves.

Cheers,

Mark

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