Vågar inte spekulera i vad Erik tror, det jag får till mig efter att ha läst transkriberingen är väl att han anser att även de långa räntorna styrs av centralbankerna. Det tvistar nog de lärda om.
Obligationsmarknaden är sannolikt effektivare än aktiemarknaden, då handeln till en större del (än aktiemarknaden) sker av institutioner.
Givetvis kan obligationsmarknaden ha fel, det är som med aktiemarknaden. Hade aktiemarknaden prisat in Covid-kraschen? Nej, då hade nedstängningen av ekonomin redan varit inprisad i aktierna. Om obligationsmarknaden prisar in x procents inflation och sedan kommer resultatet som är x-0,3% så är det ju positivt och vice-versa.
Jag har förstått att det är minst lika svårt att tajma obligationsmarknaden som aktiemarknaden. Ska man ha långa eller korta räntefonder i sin portfölj (av diverse anledningar) så ska man ha dem.
Från Bogleheads forumet
Inflation seems to be top-of-mind for many investors, if the number of recent Forum posts is an indicator. One question that arose recently, for which I could not find a ready answer was: “How often has unexpected inflation occurred historically?” The context was an investor with a bond-heavy portfolio wondering how much to allocate to TIPS vs. nominal bonds.
TIPS were first auctioned in the U.S. in January of 1997, which give us almost 25 years (293 months) over which to compare monthly, annualized expected inflation rates with actual realized inflation (first chart below). The one-year expected inflation rates (in blue) are from models developed by the Cleveland Federal Reserve.
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Data: Monthly one-year expected inflation from Fed models; CPI-U actual inflation from FRED.
The second chart below shows the difference between expected and actual inflation. Bars above zero are when actual inflation exceeded expected inflation (and TIPS would presumably outperform), while bars below zero are the opposite (when conventional nominal bonds would presumably outperform).
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Data: Monthly one-year expected inflation from Fed models; CPI-U actual inflation from FRED.
A count of the months in the chart above indicates that inflation was greater-than-expected 54% of the time, and was less-than-expected 46% of the time. So the naive 50/50 allocation between TIPS and nominals so often recommended for bond-heavy portfolios appears to have historical support, if one’s goal is to balance risk and return (not liability matching).