Change in TIPS Yields January - June 2013

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#Cruncher
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Change in TIPS Yields January - June 2013

Postby #Cruncher » Sat Jun 29, 2013 7:11 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).

grok87
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Re: Change in TIPS Yields January - June 2013

Postby grok87 » Sat Jun 29, 2013 7:29 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%
Frodo: I wish it need'nt have happened in my time. Gandalf: So do all who live to see such times. But that isn't for them to decide. All we have to decide is what to do with the time that is given us.

livesoft
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Re: Change in TIPS Yields January - June 2013

Postby livesoft » Sat Jun 29, 2013 7:35 am

It's been awhile since we looked at the Blue Line: http://research.stlouisfed.org/fred2/series/DFII10
Remarkable.
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grok87
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Joined: Tue Feb 27, 2007 9:00 pm

Re: Change in TIPS Yields January - June 2013

Postby grok87 » Sat Jun 29, 2013 8:04 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
Frodo: I wish it need'nt have happened in my time. Gandalf: So do all who live to see such times. But that isn't for them to decide. All we have to decide is what to do with the time that is given us.

conundrum
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Joined: Sat May 09, 2009 7:00 pm

Re: Change in TIPS Yields January - June 2013

Postby conundrum » Sat Jun 29, 2013 3:04 pm

Thanks for the data.

Drum :)


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