Fixed Income
Today’s price sits at the 38.1th percentile of modeled fair value — 62% of modeled scenarios put fair value above the market.
- Median fair value
- 101.8
- Upside to median
- +1.8%
- Last close
- $70.09
- 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
- +12.0%
- P75
- +9.0%
- Median
- +5.6%
- P25
- +2.0%
- P10
- -2.5%
85% of modeled scenarios end positive.
Starting yield to maturity of 5.55% as the dominant anchor, plus a duration-weighted price effect of plus or minus roughly 1.4% per 25 basis points of yield change, with a modest credit-loss deduction for the corporate sleeves.
Three years, annualised
modeled- P90
- +8.0%
- P75
- +6.8%
- Median
- +5.4%
- P25
- +4.0%
- P10
- +2.0%
Over a horizon close to the portfolio's duration, realized return converges toward the starting yield to maturity; dispersion narrows relative to the one-year distribution and reinvestment rather than price change dominates.
Against the Treasury hurdle
- 1y Treasury
- 4.58%
- Modeled excess
- +1.0%
- Basis
- direct
A 5.55% starting yield to maturity against a 4.58% one-year Treasury is roughly a one point edge for taking 5.7 years of duration risk. The edge is real but thin, and a 50 basis-point rise in yields would erase a year of it.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| TLT Long-Term US Treasuries | +1.5Cheap | 104.0 | $77.71 | +6.0% |
| TIP Inflation-Protected Treasuries | +1.3Cheap | 103.5 | $104.31 | +5.8% |
| IEF Intermediate US Treasuries | +1.0Somewhat cheap | 102.5 | $89.30 | +5.5% |
| LQD Investment-Grade Corporate Bonds | +0.8Somewhat cheap | 102.0 | $102.03 | +5.7% |
| BND US Broad Bond Market | +0.7Somewhat cheap | 101.8 | $70.09 | +5.6% |
| SHY Short-Term US Treasuries | +0.2Fair | 100.5 | $81.10 | +4.9% |
| HYG High-Yield Corporate Bonds | -0.8Somewhat expensive | 98.0 | $76.90 | +5.2% |