U.S. Yield Curve Steepening on Tap
U.S. 10-year Yield - U.S. 2-year Yield Cross above 3-year (36-month) Moving Average
Historically, when the spread between the U.S. 10-year and U.S. 2-year Treasury yields crosses above the 3-year (36-month) moving average after having been below it for at least 1 year (12 months), it indicates a clear shift towards curve steepening 1-12 months forward. For this study, we have chosen not to delve into the intricacies of bull or bear steepening and have not differentiated when these signals occur when the curve is above or below zero. We deliberately chose to perform a relatively simple and clean study where the return profiles are highly statistically significant from random.