New Tools for Treasuries, TIPS, and Inflation Data

[InvestLikeMike]

Hi all! I wanted to share some tools I’ve been working on for a while now that I hope will be of value here. For starters, the site is and will always be a free resource – I am a full-time structural engineer by day, and originally started this as a personal tool, which slowly expanded to friends and family, and now hopefully can benefit a wider group.

With real rates on TIPS getting to historically high levels, I’ve noticed a lot of discussions on Treasuries and TIPS on here, and I think some of these tools will be particularly useful in these ongoing discussions. All of the data is calculated and updated automatically, during the day, overnight, weekly, or monthly, as the data becomes available.

• Treasury Rolling Realized Returns and Term Premiums
  This pairs graphs of the SF Fed term premium model data (which is updated almost daily) with a graph of rolling realized returns and realized term premiums of Treasuries of varying constant maturities. Rolling returns can be shown for 1 year, 2 years, 5 years, or 10 years. Useful for understanding when longer duration treasuries might be particularly attractive in context of historical term premiums.

• TIPS Yield Curve
  Yield curve across all TIPS maturities, adjusted for seasonal effects (using the Canty paper method that has been discussed on here by #Cruncher, Kevin M. and others), and corresponding breakeven inflation curve and nominal treasury curve. Also includes individual charts with history of real yield, breakeven inflation, and nominal yield for each maturity.

• TIPS Rolling Realized Returns (Total Return, and Return vs. Treasuries of same maturity)
  Chart with rolling realized returns for TIPS at various constant maturities, along with relative returns vs. Treasuries of the same maturity to compare the two over past periods. Rolling values can be shown for 1 year, 2 years, 5 years, or 10 years.

• Treasury ETF Risk Reward Table
• Corporate / High Yield ETF Risk Reward Table
  Heatmap table that shows potential total returns for Treasury ETFs (or Corporate / High Yield ETFs) of varying durations based on hypothetical changes in interest rates, to quickly compare potential returns in different interest rate scenarios.

• PCE Consumer Spending Dashboard
  Detailed data from the monthly PCE report displayed as a heatmap over the latest 24 months, which can be customized to show changes in terms of real spending, nominal spending, or the total price index. Changes can be displayed for periods of 3, 6, or 12 months, or as Z-scores calculated independently for each line item.

• Inflation Dashboard
  This shows change in consumer prices, hourly wages, producer prices, and commodity prices together in context. The consumer price chart can be set to show the headline or core versions of PCE and CPI inflation, and all charts can display these as 12 month, 6 month, or 3 month annualized change values (or show all three changes simultaneously).

All of the charts, tables, etc have companion info panes (accessed by clicking on the “i” button) that provide background and explanations for the charts, along with methodology and data sources where applicable. You can also click the share icon to save an image of any chart or table.

Any and all feedback would be appreciated, and I hope that some of you find these tools useful!

[thenextguy]

Will play around with it more later, but it's a pretty slick tool.

[samsoes]

I'm confused about the TIPs Rolling Return graph - why are they sharply negative, worse than 5% loss?

[InvestLikeMike]

I'm confused about the TIPs Rolling Return graph - why are they sharply negative, worse than 5% loss?

It's a rolling total retun (price change along with coupon payments). The default rolling return period in the chart is 5 years, and the longer maturities (10+ years) are negative over this period due to price decrease from increasing long term real rates.

For comparison, here is a Koyfin graph of total return on the PIMCO LTPZ etf which is TIPS with about 20 years maturity, and Koyfin shows that at -3.01% cagr (annualized loss) vs. my site's calc of -2.86% for 20 year TIPS. I am calculating it on my site in a very theoretical fashion using daily PAR real yields from Treasury and assumed continuous rolling among other things but if you add the Pimco ETF expenses of 0'.20% to my number you would get -3.06% which is pretty close.

Hope that helps!

[ncdcpa]

I'm confused about the TIPs Rolling Return graph - why are they sharply negative, worse than 5% loss?

If you set, for example, the 20-year par yield to show 5 years, you will see that the 20-year real yield jumped from about -0.5% to about 2% from 2021 to 2024, a change of 2.5%. For any bond, the price and yield are inverse related. So yield going up means the price is going down, and if the price goes down for an existing bond, that means the return since issue (or purchase) has gone down as well.

(Edited to correct year.)

[ncdcpa]

I'm confused about the TIPs Rolling Return graph - why are they sharply negative, worse than 5% loss?

Also, it is interesting to use setting to change this show the rolling return for TIPS vs Treasuries.

I've not played with this much, but I love it so far. Thanks!

[samsoes]

I'm confused about the TIPs Rolling Return graph - why are they sharply negative, worse than 5% loss?

It's a rolling total retun (price change along with coupon payments). The default rolling return period in the chart is 5 years, and the longer maturities (10+ years) are negative over this period due to price decrease from increasing long term real rates.

For comparison, here is a Koyfin graph of total return on the PIMCO LTPZ etf which is TIPS with about 20 years maturity, and Koyfin shows that at -3.01% cagr (annualized loss) vs. my site's calc of -2.86% for 20 year TIPS. I am calculating it on my site in a very theoretical fashion using daily PAR real yields from Treasury and assumed continuous rolling among other things but if you add the Pimco ETF expenses of 0'.20% to my number you would get -3.06% which is pretty close.

Hope that helps!

(Ok...processing!)
So the 20 year TIPS Rolling Return graph line isn't relevant for a 20 year TIPS ladder, each rung being held to maturity?

[ncdcpa]

• TIPS Rolling Realized Returns (Total Return, and Return vs. Treasuries of same maturity)
  Chart with rolling realized returns for TIPS at various constant maturities, along with relative returns vs. Treasuries of the same maturity to compare the two over past periods. Rolling values can be shown for 1 year, 2 years, 5 years, or 10 years.

The left navigator calls this Tips vs Treasuries, but the graph that popped up for me was TIPS Rolling Return. I like both graphs, but to the extent people are considering TIPS vs nominal, it may be better to have what pops up match the navigator. There seems to be a risk that the casual visitor could miss something important; having both pop up on the screen at once might reduce that risk.

I love having this at my fingertips.

[gamthe]

Can I suggest one improvement to your Mortgage spreads vs treasury?

Rough estimate of this spread can be modelled by using avg of 5 and 10 year treasury vol and move index. Since you already have the data, this is better than using just 10 year and plotting move index on top of it.

Model = Average of 5 & 10 year rates + 0.14 of Move Index.

[gamthe]

Last 2 months of data of the model vs actual MBS par coupon index

[vriguy1]

Thanks - looks like the tools will be really useful as I try and figure out what my non-equity allocation should be (currently in TIPS funds and money market funds). I've bookmarked the site.

[StackingNickels]

Thank you. This looks very useful and will replace many individual links and pages from Koyfin, FRED, StockCharts, etc. that I use frequently. It will be nice to have this data all in once place. It definitely required a lot of work so thanks again for your efforts.

[InvestLikeMike]

The left navigator calls this Tips vs Treasuries, but the graph that popped up for me was TIPS Rolling Return. I like both graphs, but to the extent people are considering TIPS vs nominal, it may be better to have what pops up match the navigator. There seems to be a risk that the casual visitor could miss something important; having both pop up on the screen at once might reduce that risk.

I love having this at my fingertips.

Thanks, glad you like it and I agree the menu vs. default chart was a bit confusing. For now, I've switched it so the default chart is the TIPS vs. Treasuries chart consistent with the navigator.

[InvestLikeMike]

Can I suggest one improvement to your Mortgage spreads vs treasury?

Rough estimate of this spread can be modelled by using avg of 5 and 10 year treasury vol and move index. Since you already have the data, this is better than using just 10 year and plotting move index on top of it.

Model = Average of 5 & 10 year rates + 0.14 of Move Index.

Thanks for the feedback, and the model is certainly interesting and straightforward. Is this based on a published paper, or proprietary? If it was something published, it might make sense to add an option to show it, but if proprietary I feel like it's a bit beyond the scope of the site at the moment (although I may track this model on my own!). In that case, the 10-year is "close enough" as a proxy and more widely tracked, though I do get that the duration on a 30-year is closer to 7.

My goal with the mortgage spread chart was just to show the qualitative relationship between the spread and the MOVE index, which I feel is something a lot of investors don't track but is pretty easy to understand. (WSJ actually just had an article about this "hidden force" driving rates down yesterday)

For others interested, the chart in question is the mortgage spread chart at https://streetstats.finance/rates/mortgages

[user9532]

May I ask from where are you getting the source data?

Thanks

[InvestLikeMike]

May I ask from where are you getting the source data?

Thanks

It is coming from a variety of places -- the info panes for each chart and table include links to where the data is coming from.

For example, historical Treasury and Real TIPS interest rates are coming from U.S. Treasury info here, although intraday updates come from delayed market pricing data on Treasuries.

As another example, I am getting the TIPS intraday pricing from data on Treasury Direct.

A lot of the more custom data I am calculating myself. For example, using the above Treasury / TIPS data I am doing my own calculations to get the rolling historical returns, rolling historical return of TIPS vs. Treasuries, etc. There is an AWS server somewhere out there in the cloud that runs these calculations and updates them nightly (or throughout the day in some cases). The same is true for the Forward Fed Funds rate curves -- those are derived using delayed pricing on Fed Funds and SOFR Futures, and I keep the historical values needed for the chart in my own database.

[gamthe]

Thanks for the feedback, and the model is certainly interesting and straightforward. Is this based on a published paper, or proprietary? If it was something published, it might make sense to add an option to show it, but if proprietary I feel like it's a bit beyond the scope of the site at the moment (although I may track this model on my own!). I(inven that case, the 10-year is "close enough" as a proxy and more widely tracked, though I do get that the duration on a 30-year is closer to 7.

My goal with the mortgage spread chart was just to show the qualitative relationship between the spread and the MOVE index, which I feel is something a lot of investors don't track but is pretty easy to understand. (WSJ actually just had an article about this "hidden force" driving rates down yesterday)

It is empirical. Buf it tracks better than the academically pure method of using the regression beta. You can run multiple regression on 10 year swaption vol, slope of the yield curve, changes in Fed holding of MBS, SPX level etc. Frankly empirical does better job.

Convexity Maven (Inventor of MOVE Index) does go thru about these in one of his column

https://www.convexitymaven.com/wp-conte ... rategy.pdf

Good luck with your website