1. Yield Curve and Stock Return
Midas Asset Management
Joohyun Baek
Elizabeth Park
Takeshi Takebayashi
Indae Yoon

2. Agenda
Objective
Yield Curve Analysis
Trading Strategy

3. Objective
Examine the interaction between yield curve and stock return

4. Yield Curve Analysis Yield Spread and Stock Return
10 year T-note – 3 month T-bill
5 year T note – 3 month T bill
5 year T note – 2 year T note
2 year T note – 3 month T bill
1 year T note – 3 month T bill
Yield Spread + P/E Ratio and Stock Return
Logistic Regression

5. Yield Spread (10yr – 3mo) and Stock Return
Positive and Negative
Slope Magnitude
Level
Slope Behavior
Interest Rate Behavior

11. Yield Curve + P/E Ratio and Stock Return
Average stock returns consistently highest in category MM.

12. Yield Curve + P/E Ratio and Stock Return

13. Logistic Regression

14. Trading Strategy