Fixed Income
Today’s price sits at the 29.0th percentile of modeled fair value — 64% of modeled scenarios put fair value above the market.
- Median fair value
- 102.1
- Upside to median
- +2.1%
- Last close
- $70.22
- 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
- +13.5%
- P75
- +10.0%
- Median
- +6.5%
- P25
- +2.5%
- P10
- -1.5%
84% of modeled scenarios end positive.
Starting index yield to maturity of 5.52% carried for one year, plus a duration-and-convexity price change across a distribution of one-year yield outcomes centred on a 20 basis-point decline and spanning roughly plus or minus 120 basis points. No credit-loss drag is applied beyond the adverse scenario because the index is 68.9% government guaranteed.
Three years, annualised
modeled- P90
- +9.0%
- P75
- +7.5%
- Median
- +5.8%
- P25
- +4.0%
- P10
- +2.0%
Starting yield to maturity dominates over three years for a 5.6-year duration portfolio; the distribution narrows relative to one year because reinvestment at higher yields offsets price losses and vice versa.
Against the Treasury hurdle
- 1y Treasury
- 4.47%
- Modeled excess
- +2.0%
- Basis
- direct
A 5.52% starting index yield against a 4.47% one-year Treasury par yield offers about 105 basis points of additional carry for 5.6 years of duration risk; the modeled one-year edge of 2.03 percentage points also includes an expected modest price gain and is not a guaranteed excess return.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +1.3Cheap | 102.1 | $70.22 | +6.5% |
| IEF Intermediate US Treasuries | —Unavailable | — | $89.40 | — |
| TLT Long-Term US Treasuries | —Unavailable | — | $77.98 | — |
| SHY Short-Term US Treasuries | —Unavailable | — | $81.20 | — |
| TIP Inflation-Protected Treasuries | —Unavailable | — | $104.42 | — |
| LQD Investment-Grade Corporate Bonds | —Unavailable | — | $102.41 | — |
| HYG High-Yield Corporate Bonds | —Unavailable | — | $77.23 | — |