Measuring the Share of Treasury Yield Curve Spreads That Are Inverted

Summary

This indicator measures how broadly the U.S. Treasury yield curve is inverted. It gathers yields across maturities from one month to thirty years, compares each available pair, and plots the percentage in which the shorter-maturity yield is higher than the longer-maturity yield. A user-set warning threshold changes the chart background when the percentage reaches that level.

The document says high readings in the 60%–70% range appeared a few months before several historical recessions, including episodes in the 1960s and 1970s, 1989, 2000, 2007, and 2019–2020. It also notes that the curve remained highly inverted through 2023–2024 without a recession having occurred by then, illustrating that the signal is not a precise timing rule. The indicator describes the breadth of inversion rather than a trading strategy, and its historical observations are not proof of predictive reliability. Its code requests yield series with lookahead enabled, which may affect how historical or live values should be interpreted.

Key ideas

• The indicator compares available Treasury yields across maturities and counts the inverted pairs.
• It plots the percentage of compared spreads that are inverted and marks a configurable warning level.
• The document reports that high readings preceded several historical recessions but also cites a prolonged inversion without a recession by 2023–2024.
• The measure summarizes curve-wide inversion and does not specify trade entries, exits, or position sizing.
• The source uses lookahead-enabled data requests, a setting that can affect signal interpretation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.