Fixed Income
Today’s price sits at the 50.0th percentile of modeled fair value — 41% of modeled scenarios put fair value above the market.
- Median fair value
- 100.0
- Upside to median
- 0.0%
- Last close
- $71.47
- 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
- +11.1%
- P75
- +8.3%
- Median
- +5.2%
- P25
- +1.9%
- P10
- -1.0%
86% of modeled scenarios end positive.
Starting yield to maturity of 5.31% plus a small roll-down contribution, with price change from a yield-change distribution spanning roughly plus and minus 100 basis points applied at an effective duration of 5.75 years. The distribution is a two-piece normal fitted to the tenth, fiftieth and ninetieth percentile outcomes.
Three years, annualised
modeled- P90
- +8.5%
- P75
- +6.9%
- Median
- +5.1%
- P25
- +3.2%
- P10
- +1.5%
Three-year annualised return anchored on the starting yield to maturity, which dominates over a horizon close to the portfolio's duration, with a narrower band of terminal-yield outcomes and an allowance for realised credit losses in the corporate sleeve.
Against the Treasury hurdle
- 1y Treasury
- 4.40%
- Expected excess
- +0.8%
- Basis
- direct
A modeled one-year expected total return of 5.2% against a 4.40% one-year Treasury par yield is a thin edge for accepting 5.75 years of duration and a corporate credit sleeve at 81 basis points of spread; the one-year Treasury delivers most of that return with far less uncertainty.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | 0.0Fair | 100.0 | $71.47 | +5.2% |
| TIP Inflation-Protected Treasuries | +0.3Fair | 103.5 | $105.71 | +5.4% |
| TLT Long-Term US Treasuries | +0.2Fair | 102.5 | $81.78 | +5.4% |
| IEF Intermediate US Treasuries | +0.1Fair | 101.5 | $91.25 | +5.1% |
| SHY Short-Term US Treasuries | 0.0Fair | 100.3 | $81.36 | +4.7% |
| LQD Investment-Grade Corporate Bonds | -0.7Somewhat expensive | 97.0 | $105.16 | +4.6% |
| HYG High-Yield Corporate Bonds | -1.0Somewhat expensive | 95.5 | $78.72 | +4.9% |