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
- 101.5
- Upside to median
- +1.5%
- 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
- +12.2%
- P75
- +8.6%
- Median
- +5.3%
- P25
- +2.0%
- P10
- -2.2%
82% of modeled scenarios end positive.
Starting yield to maturity of 5.49% plus curve rolldown, with a central yield change of zero and a symmetric plus or minus 130 basis point tail applied through the 5.7-year duration. The upward slope from the 3.88% funds rate through the 4.81% two-year point prices modest tightening rather than easing, so no rate-cut tailwind is assumed. The distribution is modeled, not a calibrated probability statement.
Three years, annualised
modeled- P90
- +8.2%
- P75
- +6.9%
- Median
- +5.5%
- P25
- +4.2%
- P10
- +2.5%
Starting yield to maturity of 5.49% dominates over a horizon close to the portfolio's 5.7-year duration, so path effects largely cancel; dispersion is set by reinvestment rate uncertainty and a modest credit-loss allowance on the 28% corporate weight.
Against the Treasury hurdle
- 1y Treasury
- 4.50%
- Expected excess
- +0.8%
- Basis
- direct
Modeled one-year expected median return of 5.3% less the 4.50% one-year Treasury par yield. The edge is the smallest of any asset class here, but it is also the only one earned largely from contractual coupon rather than from valuation convergence, and the one-year downside tenth percentile of -2.2% is by far the shallowest in this report.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +1.0Somewhat cheap | 101.5 | $70.63 | +5.3% |
| IEF Intermediate US Treasuries | +1.0Somewhat cheap | 101.5 | $90.00 | +5.3% |
| LQD Investment-Grade Corporate Bonds | +1.0Somewhat cheap | 101.5 | $103.21 | +5.3% |
| SHY Short-Term US Treasuries | —Unavailable | — | $81.21 | — |
| TLT Long-Term US Treasuries | —Unavailable | — | $79.32 | — |
| TIP Inflation-Protected Treasuries | —Unavailable | — | $104.54 | — |
| HYG High-Yield Corporate Bonds | —Unavailable | — | $77.86 | — |