January Barometer for Bond Futures, from Alex Castaldo

2017-01-05 · Alex Castaldo
Original source

We examined the effect of the movement in Bond futures during January on the movement during the rest of the year (Feb through Dec).

The following table shows the price moves for all years 1996 to 2016

If the size of the Jan move is used as the predictor in a linear regression the following results are obtained:

the predictive value is low.