Thursday, June 23, 2011

ASX Debut at #1

It’s been a while since I updated the cash rate tipsters league table, and in the interim the stats I’ve been keeping on the cash rate forecasts implied in the pricing of bank bill futures have now reached the point that I can include them in the results for the last 3 years. Note that to get this data I’ve used the ASX 30 Day Interbank Cash Rate Futures Implied Yield Curve

It should be no surprise that bill futures, which represent the net of all the bets on the future direction of interest rates, should prove to be the best at predicting the cash rate, but nevertheless I’m still surprised.  Futures traders are way more focussed on where they believe the futures market is moving, rather than the underlying reasons why its moving, and the two don’t have to move in tandem.  Witness recent occasions when the futures strip implied a chance of a rate cut, when that clearly wasn’t on anyone’s mind, but the sheer weight of selling pressure (when expectations of future rate hikes suddenly got unwound following some bad data) pushed prices too low.  However, the stats don’t lie (these ones don’t at any rate).

Here’s the ladder for the last three years:





And since August 2001:


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