I am doing some back-testing on ftrs data in the market over the last several years. For some reason, a strange data pattern began in Jul 2008. Does anyone recall any events (fundamental/macro/political) that took place or started in Jul 2008? Thanks!!
the implosion of the sub prime business and subsequent shock waves in the financials. the year of 2008 is a statistical outlier. use it as such.
Thanks, but subprime portfolios were crashing well before Jul 2008. Projections given in spring 2008 by originators said defaults on mortgages were leveling off, but later (after tax season) it would show that tax return incentives did not hold off further mortgage defaults and foreclosure. And the subprime portfolios continued tanking. So why July 2008....?
Cool, thank you! Is the Inflation Trade done mostly in the 1st week of a new front month contract? Is there an article on the dynamics of the 'Inflation Trade'? I am looking at 1-M futures data that have figured all the rolls in the data already. For example, last trade for Dec '09 CL is 11/20/09, so the Jan '10 contract is new front month contract beginning on 11/21/09. Does the action from inflation trade typically occur in the first week of fresh 1-M ftrs?