DM Rates PCA Model: Flagging Gilt Steepeners Again
- By Henry Occleston
- 5 min read
This morning’s surprising rates weakness has weighed on our PCA model’s performance, knocking the proportion of in-the-money open flags from 77% to 55%. However, the gains remain decently larger than the losses.
This morning’s surprising rates weakness has weighed on our PCA model’s performance, knocking the proportion of in-the-money open flags from 77% to 55%. However, the gains remain decently larger than the losses.
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