Change in TIPS Yields January - June 2013

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Change in TIPS Yields January - June 2013

Postby #Cruncher » Sat Jun 29, 2013 8:11 am

TIPS yields have risen dramatically this year. But not all maturities have risen the same. The table below shows the change in yield for representative maturities from 12/31/2012 to 6/28/2013. (1) Yields rose the most for medium-term TIPS, less so for long-term, and the least for short-term. The table also shows the resulting change in price during the 6 month period. (2) Naturally, longer term TIPS fell more in relation to their yield change than did the shorter term.
Code: Select all
                             ---------- Ask Price ---------    --- Yield to Maturity ----
  Matures    Coupon   Life    12/31/12    06/28/13     Chg     12/31/12  06/28/13    Chg    Change in Yield to Maturity
-----------  ------   ----   ---------   ---------    -----    --------  --------   -----   ---------------------------
2014 Apr 15   1.250    1.3   103.12500   101.43750    -1.0%     (1.165)   (0.561)   0.604   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2015 Apr 15   0.500    2.3   104.43750   102.56250    -1.6%     (1.399)   (0.919)   0.480   XXXXXXXXXXXXXXXXXXXXXXXX
2016 Apr 15   0.125    3.3   105.37500   102.62500    -2.6%     (1.469)   (0.805)   0.664   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2017 Apr 15   0.125    4.3   107.18750   102.68750    -4.1%     (1.490)   (0.573)   0.917   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2018 Jul 15   1.375    5.5   116.53125   109.34375    -5.6%     (1.480)   (0.454)   1.026   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2019 Jul 15   1.875    6.5   121.87500   112.87500    -6.6%     (1.316)   (0.239)   1.077   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2020 Jul 15   1.250    7.5   118.81250   108.71875    -8.0%     (1.133)    0.010    1.143   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2021 Jul 15   0.625    8.5   113.81250   103.34375    -8.9%     (0.927)    0.205    1.132   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2022 Jul 15   0.125    9.5   108.68750    97.90625    -9.9%     (0.751)    0.361    1.112   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2025 Jan 15   2.375   12.0   135.18750   119.37500   -10.8%     (0.463)    0.631    1.094   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2026 Jan 15   2.000   13.0   131.43750   115.68750   -11.2%     (0.354)    0.693    1.047   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2027 Jan 15   2.375   14.0   138.15625   120.56250   -11.9%     (0.286)    0.771    1.057   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2028 Apr 15   3.625   15.3   158.62500   139.06250   -11.2%     (0.162)    0.815    0.977   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2029 Apr 15   3.875   16.3   165.87500   144.37500   -11.8%     (0.128)    0.863    0.991   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2032 Apr 15   3.375   19.3   164.93750   140.78125   -13.6%      0.006     0.991    0.985   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2040 Feb 15   2.125   27.1   146.93750   121.93750   -16.3%      0.318     1.164    0.846   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2041 Feb 15   2.125   28.1   147.90625   122.25000   -16.6%      0.338     1.179    0.841   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
2042 Feb 15   0.750   29.1   109.84375    88.46875   -19.1%      0.392     1.229    0.837   XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

  1. Prices and yields are from WSJ TIPS Quotes 12/31/2012 and 06/28/2013.
  2. Change in price adjusted for 1/2 the coupon, but not the 0.5% increase in the CPI from 231.31990 on 12/31/2012 to 232.55520 on 6/28/2013 (see Ref CPI 2012 and 2013).
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Re: Change in TIPS Yields January - June 2013

Postby grok87 » Sat Jun 29, 2013 8:29 am

#Cruncher wrote:TIPS yields have risen dramatically this year. But not all maturities have risen the same. The table below shows the change in yield for representative maturities from 12/31/2012 to 6/28/2013. (1) Yields rose the most for medium-term TIPS, less so for long-term, and the least for short-term.

Thanks- very interesting.
So just looking at price, looks like Barbelling outperformed over this period for the same duration. In particular if one had put 2/3 of ones money in Ibonds and 1/3 in 30 year tips, you would have been better off than having had it all in 10 year tips:

1) ibonds/30 year tips: 2/3*0% + 1/3*(-19.1%) = -6.4%

2) 10 year tips = -9.9%
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Re: Change in TIPS Yields January - June 2013

Postby livesoft » Sat Jun 29, 2013 8:35 am

It's been awhile since we looked at the Blue Line: http://research.stlouisfed.org/fred2/series/DFII10
Remarkable.
It's all about short-term opportunistic rebalancing due to a short-term change in one's asset allocation, uh, I mean opportunistic rebalancing, uh I mean rebalancing, uh I mean market timing.
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Re: Change in TIPS Yields January - June 2013

Postby grok87 » Sat Jun 29, 2013 9:04 am

livesoft wrote:It's been awhile since we looked at the Blue Line: http://research.stlouisfed.org/fred2/series/DFII10
Remarkable.

thanks. feels like it might get back to 1% before long
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Re: Change in TIPS Yields January - June 2013

Postby conundrum » Sat Jun 29, 2013 4:04 pm

Thanks for the data.

Drum :)
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