Fixed Income
Today’s price sits at the 38.0th percentile of modeled fair value — 54% of modeled scenarios put fair value above the market.
- Median fair value
- 101.3
- Upside to median
- +1.3%
- 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
- +10.8%
- P75
- +8.2%
- Median
- +5.3%
- P25
- +2.3%
- P10
- -1.0%
85% of modeled scenarios end positive.
Starting yield of about 5.2% on the aggregate plus a duration-weighted capital term spanning a 100 basis point rise to a 100 basis point fall in yields at an assumed duration of 6.0 years, with a small convexity adjustment and a separate allowance for investment-grade spread widening from the current 82 basis points. The modeled hurdle comparison uses the one-year Treasury par yield of 4.47%.
Three years, annualised
modeled- P90
- +8.4%
- P75
- +7.0%
- Median
- +5.6%
- P25
- +4.2%
- P10
- +2.5%
Starting yield compounded over three years with reinvestment at the forward curve, plus a capital term reflecting partial reversion of the real yield from its current percentile toward a neutral range, and a credit-loss allowance on the corporate portion.
Against the Treasury hurdle
- 1y Treasury
- 4.47%
- Modeled excess
- +0.8%
- Basis
- direct
A modeled annual spread over the one-year Treasury par yield, not a guaranteed excess return. The edge comes from term and credit premia and is earned only if yields and spreads behave as modelled; the one-year Treasury itself carries materially less uncertainty.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +0.7Somewhat cheap | 101.3 | $70.22 | +5.3% |
| IEF Intermediate US Treasuries | +0.7Somewhat cheap | 101.3 | $89.40 | +5.3% |
| SHY Short-Term US Treasuries | —Unavailable | — | $81.20 | — |
| TLT Long-Term US Treasuries | —Unavailable | — | $77.98 | — |
| TIP Inflation-Protected Treasuries | —Unavailable | — | $104.42 | — |
| LQD Investment-Grade Corporate Bonds | —Unavailable | — | $102.41 | — |
| HYG High-Yield Corporate Bonds | —Unavailable | — | $77.23 | — |