Fixed Income
Today’s price sits at the 15.0th percentile of modeled fair value — 85% of modeled scenarios put fair value above the market.
- Median fair value
- 104.3
- Upside to median
- +4.3%
- Last close
- $70.63
- 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
- +13.0%
- P75
- +9.5%
- Median
- +5.5%
- P25
- +1.5%
- P10
- -2.5%
84% of modeled scenarios end positive.
Starting yield to maturity of 5.42% carried for one year, plus price change from a distribution of justified-yield outcomes applied to a 5.7-year duration with a convexity adjustment, less a small expected credit-loss allowance on the 31% non-government sleeve.
Three years, annualised
modeled- P90
- +8.2%
- P75
- +6.8%
- Median
- +5.3%
- P25
- +3.8%
- P10
- +2.0%
Starting yield to maturity anchored over a horizon close to the portfolio's duration, with reinvestment at the forward curve and a distribution of terminal yield levels; dispersion narrows relative to one year because yield and price effects offset.
Against the Treasury hurdle
- 1y Treasury
- 4.50%
- Expected excess
- +1.0%
- Basis
- direct
The modelled one-year edge over the 1-year Treasury par yield is about one percentage point, earned by accepting 5.7 years of duration and a modest credit allocation. On a risk-adjusted basis the one-year Treasury is a genuinely competitive alternative.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +2.1Cheap | 104.3 | $70.63 | +5.5% |
| IEF Intermediate US Treasuries | +2.3Cheap | 104.8 | $90.00 | +5.8% |
| TLT Long-Term US Treasuries | +2.3Cheap | 105.0 | $79.32 | +6.5% |
| TIP Inflation-Protected Treasuries | +2.3Cheap | 105.0 | $104.54 | +5.6% |
| LQD Investment-Grade Corporate Bonds | +1.8Cheap | 103.5 | $103.21 | +5.8% |
| HYG High-Yield Corporate Bonds | +0.8Somewhat cheap | 101.5 | $77.86 | +6.2% |
| SHY Short-Term US Treasuries | +0.5Somewhat cheap | 101.0 | $81.21 | +4.6% |