Each week, Stratton Street produces a weekly update (full text here) which refers to data which is made available here in chart form.
CHarts referred to in the weekly of 18th january 2016
Charts referred to in the weekly of 11th january 2016
Global Growth Model Shows Weakness
Although we are not yet ready to predict either a US or global recession, the scope for higher US rates appears to be quite limited.
The short end lost money
The best place to be on an duration weighted basis was at the long end. Investors made losses at the short end.
Short dated bonds lost money
Short dated bonds lost investors money with the long end making neither gains or losses.
The period most relevant to today
In the 04-06 tightening cycle, investors lost money for the third time (out of 3!) by investing in the short end. Investors in the long end made money. We expect yield curves to flatten in this cycle too.
St Louis Fed
The latest US ISM reading of 48.2 is BELOW the level where the US last entered recession. Only robust services are preventing us from predicting a US recession at this stage.