Fixed Income
Today’s price sits at the 36.5th percentile of modeled fair value — 58% of modeled scenarios put fair value above the market.
- Median fair value
- 101.6
- Upside to median
- +1.6%
- Last close
- $70.23
- 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
- +9.4%
- Median
- +5.6%
- P25
- +1.8%
- P10
- -2.0%
81% of modeled scenarios end positive.
Starting yield to maturity of 5.44% plus roll-down of about 0.4 percentage points implied by the 68 basis point ten-year-minus-one-year curve slope across a 5.6-year duration, less about 0.08 percentage points of expected credit loss on the 31% non-government sleeve at current spreads, with the price effect of yield changes centred on zero. The P10 and P90 bounds correspond to yield moves of roughly plus and minus 140 basis points. The scenario-implied beat probability is diagnostic only.
Three years, annualised
modeled- P90
- +8.3%
- P75
- +7.0%
- Median
- +5.6%
- P25
- +4.2%
- P10
- +2.5%
Starting yield to maturity dominates at a three-year horizon on a 5.6-year duration portfolio, so the distribution narrows sharply around the entry yield. Reinvestment of coupons at prevailing rates and roll-down are included; terminal price effects of yield changes largely offset over the period.
Against the Treasury hurdle
- 1y Treasury
- 4.58%
- Expected excess
- +1.0%
- Basis
- direct
The cleanest comparison in the report: both sides are dollar-denominated fixed income quoted on an investment basis. The index earns 86 basis points more yield than the 4.58% one-year Treasury par yield but accepts 5.6 years of duration and a 31% non-government sleeve to do so, so the modeled edge is compensation for duration and credit rather than free.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +0.8Somewhat cheap | 101.6 | $70.23 | +5.6% |
| HYG High-Yield Corporate Bonds | -0.5Somewhat expensive | 98.5 | $77.36 | +4.8% |
| IEF Intermediate US Treasuries | +1.0Somewhat cheap | 102.1 | $89.45 | +5.7% |
| LQD Investment-Grade Corporate Bonds | +0.5Somewhat cheap | 100.8 | $102.41 | +5.4% |
| SHY Short-Term US Treasuries | +0.3Fair | 100.4 | $81.16 | +5.3% |
| TIP Inflation-Protected Treasuries | +1.4Cheap | 103.0 | $104.01 | +5.9% |
| TLT Long-Term US Treasuries | +1.6Cheap | 103.5 | $78.23 | +6.1% |