16.06.2022
SPY vs. GOVT
Model confidence for SPY vs. GOVT is 65%. The relationship between US equities & bonds is back in a clearly defined macro regime.
On Qi, SPY is 1.9 sigma (7.2%) cheap to GOVT relative to prevailing macro conditions. This is a historically significant level – we have only been in regime & this cheap to model once before going back to 2009.
That Fair Value Gap has arisen because recently equities have significantly underperformed Treasuries, but macro-warranted model value has moved sideways.
On Qi, SPY is 1.9 sigma (7.2%) cheap to GOVT relative to prevailing macro conditions. This is a historically significant level – we have only been in regime & this cheap to model once before going back to 2009.
That Fair Value Gap has arisen because recently equities have significantly underperformed Treasuries, but macro-warranted model value has moved sideways.
