Fixed Income
Today’s price sits at the 41.8th percentile of modeled fair value — 58% of modeled scenarios put fair value above the market.
- Median fair value
- 100.3
- Upside to median
- +0.3%
- Last close
- $70.33
- 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
- +12.8%
- P75
- +9.5%
- Median
- +5.8%
- P25
- +2.1%
- P10
- -1.2%
86% of modeled scenarios end positive.
Starting index yield of about 5.14% as the dominant carry anchor plus roughly 0.8% of price return from partial convergence of the index yield toward the modelled central justified level; dispersion of about 5.5% from a 5.8-year duration applied to a 0.9 percentage point annual yield volatility.
Three years, annualised
modeled- P90
- +8.8%
- P75
- +7.0%
- Median
- +5.5%
- P25
- +4.0%
- P10
- +2.0%
Starting yield plus roll-down along a positively sloped curve and a partial normalisation of the real yield toward a 1.6% structural level, spread over three years; dispersion narrows with horizon as coupon income dominates price variation.
Against the Treasury hurdle
- 1y Treasury
- 4.48%
- Modeled excess
- +1.3%
- Basis
- direct
A modelled annual edge of about 1.3% over the 4.48% one-year Treasury par yield, which is thin compensation for 5.8 years of duration and a quarter-weighting in historically tight corporate spreads.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +0.5Somewhat cheap | 100.3 | $70.33 | +5.8% |
| IEF Intermediate US Treasuries | —Unavailable | 100.3 | $89.54 | +5.8% |
| HYG High-Yield Corporate Bonds | —Unavailable | — | $77.09 | — |
| LQD Investment-Grade Corporate Bonds | —Unavailable | — | $102.55 | — |
| SHY Short-Term US Treasuries | —Unavailable | — | $81.19 | — |
| TIP Inflation-Protected Treasuries | —Unavailable | — | $104.56 | — |
| TLT Long-Term US Treasuries | —Unavailable | — | $78.37 | — |