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T-note Behavior over the Calendar Year

Steve LeCompte | | Posted in: Bonds, Calendar Effects

The Trading Calendar looks at S&P 500 Index behaviors over the calendar year, finding some consistent patterns. Are there any comparable insights from movements of the U.S. Treasury 10-year constant maturity note (T-note) yield over the calendar year? To investigate, we track T-note yield and cumulative change in T-note yield by business day over all available calendar years, even (U.S. national election) years, odd years and presidential election years. Using daily T-note yield during January 1962 through early September 2024, we find that:

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