Fixed Income
Today’s price sits at the 48.2th percentile of modeled fair value — 52% of modeled scenarios put fair value above the market.
- Median fair value
- 100.2
- Upside to median
- +0.2%
- Last close
- $70.00
- 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
- +12.5%
- P75
- +9.0%
- Median
- +5.4%
- P25
- +1.5%
- P10
- -3.5%
80% of modeled scenarios end positive.
Starting yield to maturity of 5.52% as the carry anchor, plus price effects from the justified-yield scenario distribution applied at an effective duration of 5.68 years with convexity, less a small expected credit-loss allowance.
Three years, annualised
modeled- P90
- +9.5%
- P75
- +7.5%
- Median
- +5.5%
- P25
- +3.5%
- P10
- +1.5%
Three-year annualized return anchored on the 5.52% starting yield with reinvestment, converging toward yield to maturity as the holding period approaches the 8.18-year weighted average maturity.
Against the Treasury hurdle
- 1y Treasury
- 4.42%
- Modeled excess
- +1.0%
- Basis
- direct
Modeled one-year expected-return median of 5.4% against the 4.42% one-year Treasury par yield, an investment-basis hurdle. The 4.22% one-year bill rate is quoted on a bank-discount basis and is not a holding-period compound return. The spread is a modeled expectation, not a guaranteed excess return; the broad bond market offers roughly a percentage point of modeled edge over one-year Treasuries while taking roughly 5.7 years of duration risk.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +0.1Fair | 100.2 | $70.00 | +5.4% |
| HYG High-Yield Corporate Bonds | -1.6Expensive | 96.6 | $77.18 | +5.4% |
| IEF Intermediate US Treasuries | +0.2Fair | 100.3 | $89.11 | +5.4% |
| LQD Investment-Grade Corporate Bonds | -0.8Somewhat expensive | 98.3 | $102.10 | +5.4% |
| SHY Short-Term US Treasuries | +0.1Fair | 100.1 | $81.16 | +5.4% |
| TIP Inflation-Protected Treasuries | +0.8Somewhat cheap | 101.7 | $104.24 | +5.4% |
| TLT Long-Term US Treasuries | +0.3Fair | 100.6 | $77.15 | +5.4% |