Fixed Income
Today’s price sits at the 22.4th percentile of modeled fair value — 78% of modeled scenarios put fair value above the market.
- Median fair value
- 103.2
- Upside to median
- +3.2%
- Last close
- $71.41
- 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
- +11.3%
- P75
- +8.6%
- Median
- +5.6%
- P25
- +2.6%
- P10
- -0.5%
88% of modeled scenarios end positive.
Starting portfolio yield of approximately 4.8% plus roughly 30% convergence of the modeled fair-value gap within one year, less an expected credit loss allowance, with the dispersion set by a 5.8-year duration against a one-year yield-change standard deviation near 70 basis points plus a spread-widening tail.
Three years, annualised
modeled- P90
- +7.8%
- P75
- +6.5%
- Median
- +5.1%
- P25
- +3.7%
- P10
- +2.2%
Starting yield dominates at a three-year horizon for a 5.8-year-duration index; the modeled valuation convergence is annualised over three years and the distribution narrows as coupon accrual compounds relative to price variance.
Against the Treasury hurdle
- 1y Treasury
- 4.43%
- Expected excess
- +1.2%
- Basis
- direct
A modeled spread over the 1-year Treasury par yield, not a guaranteed excess return. The edge comes almost entirely from duration extension, so it is contingent on the term premium not widening further.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +1.7Cheap | 103.2 | $71.41 | +5.6% |
| IEF Intermediate US Treasuries | +2.2Cheap | 104.5 | $91.16 | +5.9% |
| TLT Long-Term US Treasuries | +2.7Exceptionally cheap | 105.5 | $81.75 | +6.1% |
| TIP Inflation-Protected Treasuries | +2.0Cheap | 104.0 | $105.56 | +5.8% |
| LQD Investment-Grade Corporate Bonds | +1.1Somewhat cheap | 102.0 | $105.09 | +5.4% |
| SHY Short-Term US Treasuries | +0.7Somewhat cheap | 101.0 | $81.32 | +5.2% |
| HYG High-Yield Corporate Bonds | -0.4Somewhat expensive | 98.5 | $78.67 | +4.7% |