Fixed Income
Today’s price sits at the 33.3th percentile of modeled fair value — 67% of modeled scenarios put fair value above the market.
- Median fair value
- 103.0
- Upside to median
- +3.0%
- Last close
- $71.15
- Confidence
- high
Return distributions, not point forecasts
Percentiles describe the spread of scenario outcomes under the stated method. The width of the range carries as much information as the midpoint.
One year
modeled- P90
- +12.8%
- P75
- +9.2%
- Median
- +5.6%
- P25
- +1.8%
- P10
- -2.5%
78% of modeled scenarios end positive.
Starting yield to maturity of 5.25% as the carry anchor, plus roll-down along a positively sloped curve, plus a price term equal to minus the 5.7-year duration times the modeled yield change, less an expected credit-loss allowance sized to the portfolio's investment-grade composition.
Three years, annualised
modeled- P90
- +8.2%
- P75
- +6.8%
- Median
- +5.3%
- P25
- +3.8%
- P10
- +2.0%
Reinvestment at evolving forward yields over a horizon close to the portfolio duration, which damps the price term and pulls the annualised outcome toward the starting yield to maturity.
Against the Treasury hurdle
- 1y Treasury
- 4.39%
- Expected excess
- +1.2%
- Basis
- direct
Modeled one-year median return of 5.6% against the 4.39% one-year Treasury par yield. The 1.2 point edge is compensation for taking 5.7 years of duration and modest investment-grade credit risk instead of holding a one-year bill to maturity; a 100 basis-point rise in yields would erase it.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +1.0Somewhat cheap | 103.0 | $71.15 | +5.6% |
| IEF Intermediate US Treasuries | +1.0Somewhat cheap | 103.0 | $90.82 | +5.6% |
| SHY Short-Term US Treasuries | —Unavailable | — | $81.31 | — |
| TLT Long-Term US Treasuries | —Unavailable | — | $80.71 | — |
| TIP Inflation-Protected Treasuries | —Unavailable | — | $105.79 | — |
| LQD Investment-Grade Corporate Bonds | —Unavailable | — | $104.28 | — |
| HYG High-Yield Corporate Bonds | —Unavailable | — | $78.38 | — |