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FolioBeyond’s ETF-based Fixed Income Models returned 9.92% and 7.57% in its dynamic volatility and static volatility versions, respectively, in 2023. These returns surpassed…

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The historic adjustment that the fixed income market is undergoing is long overdue. Negative real rates, pent-up inflationary and labor market pressures, continued supply chain bottlenecks, and possible aggressive Fed tightening were bound to result in a massive reversal of the long-term bull market.

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The historic adjustment that the fixed income market is undergoing is long overdue. Negative real rates, pent-up inflationary and labor market pressures, continued supply chain bottlenecks, and possible aggressive Fed tightening were bound to result in a massive reversal of the long-term bull market.

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FolioBeyond's algorithmic Fixed Income strategy was marginally positive in December, returning 0.07% and 0.09% in its dynamic and static volatility versions. The strategies outperformed the Bloomberg Barclays U.S. Aggregate Bond Index ("AGG") which returned -0.26% for the month.

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FolioBeyond's algorithmic Fixed Income strategy was marginally negative in November. Year-to-date, the FolioBeyond strategies have outperformed AGG by 168 and 227 bps in its dynamic and static volatility models, respectively…

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The new Omicron variant could further complicate our world's economic activity and increase the chaos on supply chain breakdowns - from semiconductor delays to worker shortages. "It certainly increases the uncertainty for inflation," quipped Jerome Powell a few days ago. More Fedspeak that market observers continue to interpret for the benefit of their balance sheets. More recently, Fedspeak has finally fessed up that inflation is not temporary.

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Similarly, to many S&P 500 investors, some broad market fixed income investors may take a “fund it and forget it” approach to their Agg exposure. We believe that stance is overdue for a review. The interest rate exposure of the Agg – its duration risk – has increased materially in just the last few years.

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Many investors hold fixed income securities in their portfolios. After all, the much-maligned "60/40" rule still defines a standard for both retail and institutional portfolios, even if it isn't as strictly adhered to as it once was. Given the uncertainties about the interest rate outlook, it seems prudent to quantify how much interest rate risk exists in a typical portfolio and what investors and advisors can do to help manage that risk.

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FolioBeyond's algorithmic Fixed Income strategy returned -0.07% and -0.03% in its dynamic and static volatility versions, respectively. Year-to-date, the strategies continued their outperformance …

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There is no doubt that Jerome (“Jay”) Powell is a well-respected man – “doing the best things so conservatively.” He is the Goldilocks of Fed Chairmen, a solid Republican nominated by Obama to the Board of Governors, and Trump as chair of Federal Reserve in 2018. He has befriended the stock market by the tone of his policy stance – neither too dovish nor too hawkish.

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In 1978 the 10-yr Treasury average yield was 8.4%, the GDP growth was 5.5%, and the inflation rate was 7.6%.

In 2021 the 10-yr Treasury average yield has been averaging 1.3%, GDP growth is around 6.3%, while the (annualized) CPI inflation rate in the U.S. accelerated to 5.4% in June of 2021 …

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