Fixed Income
Today’s price sits at the 43.5th percentile of modeled fair value — 53% of modeled scenarios put fair value above the market.
- Median fair value
- 100.3
- Upside to median
- +0.3%
- Last close
- $70.40
- 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
- +11.8%
- P75
- +8.7%
- Median
- +6.3%
- P25
- +2.9%
- P10
- -0.5%
88% of modeled scenarios end positive.
Starting yield to maturity of 5.49% plus roughly 15 basis points of curve roll-down, plus the price effect of a yield change applied through duration and convexity. Yield-change scenarios span -110 to +110 basis points, centred on a modest 15 basis point decline.
Three years, annualised
modeled- P90
- +8.2%
- P75
- +6.9%
- Median
- +5.6%
- P25
- +4.4%
- P10
- +3.1%
Starting yield to maturity held as the dominant anchor over a horizon roughly half the portfolio's 8.2-year effective maturity, with price effects from the terminal yield level largely offset by reinvestment at higher yields in the adverse scenarios.
Against the Treasury hurdle
- 1y Treasury
- 4.53%
- Modeled excess
- +1.8%
- Basis
- direct
The modeled one-year median of 6.3% exceeds the 4.53% one-year Treasury par yield by about 1.8 points, earned by taking 5.6 years of duration risk rather than holding to maturity. A 110 basis point rise in yields would erase the entire edge.
7 in this asset class
| Symbol | Valuation | Fair value | Last close | 1y modeled |
|---|---|---|---|---|
| BND US Broad Bond Market | +0.4Somewhat cheap | 100.3 | $70.40 | +6.3% |
| IEF Intermediate US Treasuries | —Unavailable | — | $89.71 | — |
| LQD Investment-Grade Corporate Bonds | —Unavailable | — | $102.66 | — |
| TLT Long-Term US Treasuries | —Unavailable | — | $78.89 | — |
| SHY Short-Term US Treasuries | —Unavailable | — | $81.17 | — |
| TIP Inflation-Protected Treasuries | —Unavailable | — | $104.82 | — |
| HYG High-Yield Corporate Bonds | —Unavailable | — | $76.81 | — |