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Consistent Yield & Duration to Help Choose TIPS Fund

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#Cruncher
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by #Cruncher »

IDpilot wrote: ↑Sun Jul 02, 2023 9:21 am Looks like you also zeroed out the Market Value of the TIP maturing on 7/15/2023 in the Weight Sheet which removes it from the computations. What's the reason for that?
There are two related reasons:

1. When a bond is close to maturity, the yield-to-maturity (YTM) is sensitive to slight changes in price. Friday's ask price for this TIPS from the WSJ TIPS Quotes was 99+30/32. Plugging this into the Excel YIELD function returns a YTM of 2.3%. Changing the price up or down by just 1/32 of a point changes the YTM by almost 1% point.
2.3% =YIELD(DATE(2023,7,3), DATE(2023,7,15), 0.375%, 99+30/32, 100, 2, 1)
1.3% =YIELD(DATE(2023,7,3), DATE(2023,7,15), 0.375%, 99+31/32, 100, 2, 1)
3.2% =YIELD(DATE(2023,7,3), DATE(2023,7,15), 0.375%, 99+29/32, 100, 2, 1)

2. Yields for bond funds are computed as a weighted average of the YTMs for each of its holdings. No allowance is made for how long each bond will be held. This TIPS maturing in only about two weeks has just as much influence on the yield of a 0-5 year fund as one with the same market value maturing in five years. There is a rationale for this, namely that we assume that the yield curve for the bond's holdings remains the same. But this rationale breaks down for close-to-maturity bonds with wildly changing yields.
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jeffyscott
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by jeffyscott »

^ I would think a third reason would be that the final index ratio is known, which means that the final nominal value is known and so the 7/15/23 TIPS is being priced as if it were a nominal. Because of this, the real yield has become meaningless for that TIPS.
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by #Cruncher »

  • Edited 12/22 3:40 PM. This week yields fell slightly for short maturities and rose slightly for long maturities. The yield of the 1+ index slipped 0.02% points to 1.99%.
  • Edited 12/15 3:45 PM. This week yields fell almost 0.4% points for short maturities and over 0.2% points for long maturities. The yield of the 1+ index dropped 0.35% points to 2.01%.
  • Edited 12/08 3:55 PM. Short term yields rose this week while long term yields slipped. The yield of the 1+ index climbed 0.09% points to 2.36%. Starting Tuesday the WSJ finally began including the 2.375% 5-year TIPS issued 10/31/2023 in its daily TIPS Quotes.
  • Edited 12/01 3:55 PM. This week yields fell 0.25% points for the 1 - 5 index and 0.12% points for the 15+ index. The yield of the 1+ index dropped 0.22% points to 2.27%. Since it is only about 45 days from maturity, starting 11/30 I've excluded the Jan 15, 2024 from the 0 - 5 index. By the way, the WSJ has still not begun including the 2.375% 5-year TIPS issued 10/31/2023.
  • Edited 11/24 3:40 PM. Yields hardly changed this week for all maturities. The yield of the 1+ index edged up 0.03% points to 2.49%. The WSJ has still not begun including the 2.375% 5-year TIPS issued 10/31/2023 in its daily TIPS Quotes. I've been getting its price and yield from this Bloomberg bond quote page.
  • Edited 11/17 4:15 PM. Yields fell modestly for all TIPS maturing July 2025 or later. The yield of the 1+ index dropped 0.12% points to 2.46%.
  • Edited 11/10 9:40 PM. Yields rose moderately for short maturities, slightly for longer maturities. The yield of the 1+ index climbed 0.18% points to 2.58%.
  • Edited 11/03 4:05 PM. Yields fell substantially last week -- more so for longer maturities. The yield of the 1+ index fell 0.20% points to 2.40%.
  • Edited 10/27 3:20 PM. Yields were little changed for all maturities this week. The yield of the 1+ index edged down 0.03% points to 2.60%.
  • Edited 10/20 3:35 PM. This week yields rose for all maturities, from 0.06% points for the 1-5 index to 0.18% points for the 15+ index. The yield of the 1+ index increased 0.11% points to 2.63%.
  • Edited 10/13 3:25 PM. This week yields fell for all maturities; from about 0.3% points for short term to about 0.15% points for long term. The yield of the 1+ index dropped 0.24% points to 2.52%. (Beginning Wednesday 10/11 the WSJ has corrected the error reporting the yield for the 0.625% July 15, 2032 maturity. It now appears to be correct.)
  • Edited 10/6 4:20 PM. This week yields rose more than 0.2% points for all maturities. The yield of the 1+ index climbed 0.25% points to 2.76%. (Since Wednesday 10/4 the WSJ reported yield for the 0.625% July 15, 2032 maturity appears to be overstated about 0.4% to 0.5% points compared to the yield of TIPS with nearby maturities. Assuming the WSJ reported yield is erroneous, this overstates the average yields that I compute for the 1-10 and 1+ indexes by about 0.01% point.)

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 0 - 5    1 - 5   1 - 10      1+      15+    <-- index
 -----    -----   ------    -----    -----
 2.34%    2.17%    1.99%    1.99%    1.94%   12/22/2023 Friday
 2.34%    2.17%    1.99%    1.97%    1.91%   12/21/2023 Thursday
 2.34%    2.18%    1.99%    1.97%    1.89%   12/20/2023 Wednesday
 2.40%    2.23%    2.05%    2.03%    1.92%   12/19/2023 Tuesday
 2.39%    2.22%    2.04%    2.02%    1.92%   12/18/2023 Monday

 2.41%    2.22%    2.03%    2.01%    1.90%   12/15/2023 Friday
 2.34%    2.15%    1.98%    1.97%    1.89%   12/14/2023 Thursday
 2.60%    2.40%    2.21%    2.18%    2.05%   12/13/2023 Wednesday
 2.81%    2.62%    2.42%    2.37%    2.16%   12/12/2023 Tuesday
 2.77%    2.59%    2.39%    2.35%    2.15%   12/11/2023 Monday

 2.78%    2.61%    2.41%    2.36%    2.13%   12/08/2023 Friday
 2.72%    2.53%    2.33%    2.29%    2.09%   12/07/2023 Thursday
 2.71%    2.54%    2.34%    2.29%    2.08%   12/06/2023 Wednesday
 2.60%    2.45%    2.28%    2.25%    2.12%   12/05/2023 Tuesday
 2.65%    2.51%    2.35%    2.33%    2.24%   12/04/2023 Monday

 2.59%    2.44%    2.29%    2.27%    2.20%   12/01/2023 Friday
 2.69%    2.55%    2.39%    2.37%    2.26%   11/30/2023 Thursday (0 - 5 with Jan 2024 excluded)
 2.92%    2.55%    2.39%    2.37%    2.26%   11/30/2023 Thursday (0 - 5 with Jan 2024 included)
 2.83%    2.49%    2.33%    2.32%    2.23%   11/29/2023 Wednesday
 2.91%    2.57%    2.41%    2.39%    2.27%   11/28/2023 Tuesday

 2.99%    2.69%    2.52%    2.49%    2.32%   11/24/2023 Friday
 2.97%    2.67%    2.49%    2.46%    2.28%   11/22/2023 Wednesday
 2.90%    2.62%    2.47%    2.44%    2.32%   11/21/2023 Tuesday
 2.89%    2.61%    2.44%    2.42%    2.27%   11/20/2023 Monday

 2.99%    2.67%    2.49%    2.46%    2.31%   11/17/2023 Friday
 2.97%    2.68%    2.50%    2.47%    2.32%   11/16/2023 Thursday
 2.98%    2.71%    2.54%    2.52%    2.37%   11/15/2023 Wednesday
 2.88%    2.61%    2.45%    2.43%    2.31%   11/14/2023 Tuesday
 2.99%    2.77%    2.61%    2.58%    2.40%   11/13/2023 Monday

 3.03%    2.79%    2.62%    2.58%    2.37%   11/10/2023 Friday
 3.00%    2.75%    2.59%    2.56%    2.38%   11/09/2023 Thursday
 2.95%    2.68%    2.51%    2.47%    2.28%   11/08/2023 Wednesday
 2.90%    2.64%    2.48%    2.46%    2.32%   11/07/2023 Tuesday
 2.85%    2.62%    2.48%    2.47%    2.38%   11/06/2023 Monday

 2.77%    2.55%    2.41%    2.40%    2.31%   11/03/2023 Friday
 2.87%    2.66%    2.53%    2.51%    2.40%   11/02/2023 Thursday
 2.91%    2.71%    2.59%    2.59%    2.55%   11/01/2023 Wednesday
 2.95%    2.76%    2.65%    2.64%    2.59%   10/31/2023 Tuesday
 2.93%    2.74%    2.63%    2.62%    2.60%   10/30/2023 Monday

 2.90%    2.71%    2.61%    2.60%    2.59%   10/27/2023 Friday
 2.90%    2.74%    2.63%    2.62%    2.57%   10/26/2023 Thursday
 2.97%    2.81%    2.70%    2.69%    2.65%   10/25/2023 Wednesday
 2.95%    2.78%    2.66%    2.64%    2.58%   10/24/2023 Tuesday
 2.88%    2.73%    2.62%    2.62%    2.60%   10/23/2023 Monday

 2.90%    2.73%    2.63%    2.63%    2.62%   10/20/2023 Friday
 2.90%    2.77%    2.67%    2.67%    2.65%   10/19/2023 Thursday
 2.93%    2.80%    2.67%    2.66%    2.58%   10/18/2023 Wednesday
 2.91%    2.78%    2.66%    2.64%    2.57%   10/17/2023 Tuesday
 2.78%    2.65%    2.54%    2.53%    2.51%   10/16/2023 Monday

 2.79%    2.67%    2.53%    2.52%    2.44%   10/13/2023 Friday
 2.94%    2.79%    2.65%    2.63%    2.53%   10/12/2023 Thursday
 2.93%    2.76%    2.59%    2.56%    2.41%   10/11/2023 Wednesday
 2.93%    2.76%    2.63%    2.61%    2.49%   10/10/2023 Tuesday
 3.11%    2.93%    2.79%    2.76%    2.62%   10/09/2023 Monday

 3.11%    2.94%    2.80%    2.76%    2.61%   10/06/2023 Friday
 3.04%    2.87%    2.73%    2.70%    2.55%   10/05/2023 Thursday
 3.03%    2.90%    2.76%    2.72%    2.51%   10/04/2023 Wednesday
 2.95%    2.83%    2.70%    2.68%    2.58%   10/03/2023 Tuesday
 2.90%    2.77%    2.62%    2.60%    2.46%   10/02/2023 Monday
end of edit

I've updated the Yield to Maturity and Duration Calculator with WSJ TIPS Prices 9/29/2023 [1] and the weighting effect of the 10-year auctions in July & September and the 30-year auction in August. As shown in the table below, the weighted average yield of the bonds in the 1+ years broad index (2.51%) is 0.19% points lower than the yield on the 1-5 year short term index (2.70%) [2] and 0.03% points lower than the 1-10 year index (2.54%).

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  #     Real       Avg  - Real Duration -   - Fall if Rates Rise -
TIPS     YTM      Life  Macaulay Modified     1%       2%       3%       Index
----    -----     ----  -------- --------   -----    -----    -----   ------------
  24    2.81%     2.54     2.50    2.47%    2.42%    4.75%    7.00%   0 - 5 Years
  21    2.70%     2.88     2.83    2.79%    2.74%    5.38%    7.93%   1 - 5 Years
  34    2.54%     4.50     4.39    4.34%    4.21%    8.16%   11.89%   1 - 10 Years
  48    2.51%     7.37     6.86    6.78%    6.35%   11.94%   16.90%   1+ Years
  14    2.37%    21.86    19.35   19.12%   17.18%   31.02%   42.21%   15+ Years
Here is a table showing the trend of yields since October 2012. Compared to three months ago the average yield is significantly higher for all five indexes, most notably the 15+ index which is up 0.69% points. All indexes are at their highest values since I began this thread in October 2012!

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  0-5         1-5        1-10          1+         15+

Code: Select all

 2.81%       2.70%       2.54%       2.51%       2.37%    09/29/2023
 2.54%       2.42%       2.16%       2.07%       1.68%    06/30/2023
 1.64%       1.60%       1.46%       1.48%       1.55%    04/28/2023
 1.80%       1.75%       1.57%       1.56%       1.51%    01/31/2023

 2.21%       2.02%       1.91%       1.91%       1.91%    09/30/2022
(0.33%)     (0.06%)      0.23%       0.38%       1.11%    06/30/2022
(2.25%)     (1.69%)     (1.27%)     (1.01%)     (0.04%)   03/31/2022

(2.48%)     (2.19%)     (1.80%)     (1.52%)     (0.48%)   12/31/2021
(2.15%)     (2.05%)     (1.66%)     (1.36%)     (0.25%)   09/30/2021
(2.40%)     (2.23%)     (1.77%)     (1.47%)     (0.28%)   06/30/2021
(2.37%)     (2.19%)     (1.68%)     (1.35%)      0.02%    03/31/2021

(1.81%)     (1.73%)     (1.54%)     (1.32%)     (0.45%)   12/31/2020
(1.20%)     (1.26%)     (1.19%)     (1.03%)     (0.39%)   09/30/2020
(0.79%)     (0.89%)     (0.84%)     (0.71%)     (0.16%)   06/30/2020
 0.10%      (0.34%)     (0.42%)     (0.35%)     (0.07%)   05/29/2020
 0.65%       0.04%      (0.17%)     (0.17%)     (0.14%)   04/30/2020
 0.69%       0.54%       0.26%       0.24%       0.15%    03/31/2020
 
 0.13%       0.07%       0.09%       0.17%       0.54%    12/31/2019
 0.59%       0.42%       0.30%       0.34%       0.53%    09/30/2019
 0.47%       0.35%       0.30%       0.37%       0.75%    06/28/2019
 0.00%       0.37%       0.42%       0.50%       0.89%    03/29/2019

 1.74%       1.22%       1.09%       1.11%       1.20%    12/31/2018
 0.87%       0.83%       0.87%       0.90%       1.04%    09/28/2018
 0.46%       0.58%       0.63%       0.67%       0.84%    06/29/2018
(0.22%)      0.28%       0.43%       0.52%       0.87%    03/29/2018

 0.12%       0.14%       0.25%       0.35%       0.70%    12/29/2017
(0.14%)     (0.11%)      0.12%       0.28%       0.89%    09/29/2017
 0.06%       0.01%       0.23%       0.38%       0.96%    06/30/2017
(0.84%)     (0.47%)     (0.08%)      0.12%       0.89%    03/31/2017

(0.33%)     (0.37%)      0.01%       0.22%       0.97%    12/30/2016
(0.59%)     (0.55%)     (0.30%)     (0.10%)      0.59%    09/30/2016
(0.91%)     (0.67%)     (0.33%)     (0.11%)      0.68%    06/30/2016
(0.96%)     (0.69%)     (0.31%)     (0.07%)      0.83%    03/31/2016
 0.06%      (0.08%)      0.18%       0.37%       1.11%    01/29/2016

 0.22%       0.18%       0.43%       0.61%       1.25%    12/31/2015
 0.33%       0.15%       0.38%       0.55%       1.18%    11/20/2015
 0.30%       0.04%       0.27%       0.45%       1.15%    10/23/2015
 0.42%       0.15%       0.34%       0.50%       1.07%    08/28/2015
(0.08%)     (0.13%)      0.17%       0.35%       1.02%    07/24/2015
(0.78%)     (0.54%)     (0.12%)      0.14%       1.02%    06/19/2015
(0.74%)     (0.60%)     (0.26%)     (0.05%)      0.58%    03/20/2015
 0.16%      (0.24%)     (0.05%)      0.10%       0.60%    01/23/2015

 0.62%       0.13%       0.28%       0.41%       0.81%    12/19/2014
(0.26%)     (0.48%)     (0.10%)      0.17%       0.94%    10/24/2014
(0.30%)     (0.36%)      0.05%       0.31%       1.08%    09/19/2014
(0.92%)     (0.88%)                 (0.10%)      0.83%    07/25/2014
(1.34%)     (1.11%)                 (0.10%)      1.04%    06/20/2014
(1.34%)     (1.13%)                 (0.14%)      1.01%    05/23/2014
(1.36%)     (1.04%)                 (0.03%)      1.07%    04/25/2014
(1.31%)     (0.96%)                  0.09%       1.19%    03/21/2014
(1.47%)     (1.17%)                  0.00%       1.27%    02/21/2014
(1.15%)     (1.01%)                  0.04%       1.19%    01/24/2014

(0.65%)     (0.87%)                  0.18%       1.34%    12/20/2013
(0.75%      (1.00%)                  0.04%       1.27%    11/22/2013
(0.88%)     (1.00%)                 (0.07%)      1.06%    10/25/2013
(0.87%)     (0.91%)                  0.06%       1.19%    09/20/2013
(0.79%)     (0.74%)                  0.21%       1.24%    08/30/2013
(1.16%)     (1.12%)                 (0.12%)      1.02%    07/19/2013
(0.56%)     (0.62%)                  0.21%       1.23%    06/21/2013
(1.18%)     (1.33%)                 (0.62%)      0.44%    05/17/2013
(1.47%)     (1.59%)                 (0.93%)      0.09%    04/26/2013
(2.14%)     (1.89%)                 (0.92%)      0.26%    02/15/2013

(1.29%)     (1.43%)                 (0.87%)     (0.01%)   12/21/2012
(1.28%)     (1.33%)                 (0.78%)      0.06%    10/26/2012
  1. This link shows the latest TIPS quotes from the Wall Street Journal web site. After the close of the next trading day, it will no longer point to the ask prices upon which the spreadsheet and this post are based. Unfortunately the WSJ has stopped providing links to TIPS quotes for particular dates. Therefore, for reference, I'm here listing the quotes from the 9/29/2033 WSJ web page. (However, I have found an alternate historical source: FedInvest Historical Prices.)

    Code: Select all

      Matures  Coupon    CUSIP     Base CPI  Bid Price  Ask Price   Yield    Index

    Code: Select all

    01/15/2024  0.625  912828B25  233.33058   99.06250   99.12500   3.762   1.31030
04/15/2024  0.500  9128286N5  252.20853   98.21875   98.28125   3.526   1.21223
07/15/2024  0.125  912828WU0  237.44594   97.65625   97.71875   3.098   1.28759
10/15/2024  0.125  912828YL8  256.56513   96.90625   96.96875   3.115   1.19164

01/15/2025  2.375  912810FR4  188.49677   98.81250   98.87500   3.262   1.62196
01/15/2025  0.250  912828H45  236.85403   96.15625   96.21875   3.278   1.29081
04/15/2025  0.125  912828ZJ2  258.30093   95.43750   95.50000   3.161   1.18364
07/15/2025  0.375  912828XL9  237.14365   95.75000   95.81250   2.786   1.28924
10/15/2025  0.125  91282CAQ4  259.46997   94.75000   94.81250   2.759   1.17830

01/15/2026  2.000  912810FS2  198.47742   98.03125   98.09375   2.867   1.54040
01/15/2026  0.625  912828N71  237.61129   95.09375   95.15625   2.828   1.28670
04/15/2026  0.125  91282CCA7  262.25027   93.43750   93.50000   2.792   1.16581
07/15/2026  0.125  912828S50  239.70132   93.50000   93.56250   2.536   1.27548
10/15/2026  0.125  91282CDC2  273.25771   93.00000   93.06250   2.513   1.11885

01/15/2027  2.375  912810PS1  201.66452   99.28125   99.37500   2.572   1.51605
01/15/2027  0.375  912828V49  241.55919   93.00000   93.09375   2.578   1.26567
04/15/2027  0.125  91282CEJ6  282.34640   91.81250   91.87500   2.538   1.08283
07/15/2027  0.375  9128282L3  244.61839   92.75000   92.81250   2.367   1.24984
10/15/2027  1.625  91282CFR7  296.22858   97.09375   97.18750   2.352   1.03209

01/15/2028  1.750  912810PV4  209.49645   97.15625   97.25000   2.431   1.45938
01/15/2028  0.500  9128283R9  246.66571   92.18750   92.28125   2.404   1.23947
04/15/2028  3.625  912810FD5  161.74000  105.12500  105.21875   2.402   1.89028
04/15/2028  1.250  91282CGW5  299.94933   95.06250   95.18750   2.385   1.01929
07/15/2028  0.750  912828Y38  251.01658   93.09375   93.18750   2.262   1.21798

01/15/2029  2.500  912810PZ5  214.69971  100.75000  100.84375   2.331   1.42401
01/15/2029  0.875  9128285W6  252.50248   92.81250   92.90625   2.310   1.21082
04/15/2029  3.875  912810FH6  164.39333  107.75000  107.81250   2.358   1.85977
07/15/2029  0.250  9128287D6  255.79368   89.12500   89.21875   2.246   1.19524

01/15/2030  0.125  912828Z37  257.28368   87.18750   87.28125   2.309   1.18832
07/15/2030  0.125  912828ZZ6  256.39126   86.65625   86.75000   2.240   1.19245

01/15/2031  0.125  91282CBF7  260.31619   85.53125   85.62500   2.279   1.17447
07/15/2031  0.125  91282CCM1  268.02090   84.90625   85.00000   2.236   1.14071

01/15/2032  0.125  91282CDX6  277.20274   83.75000   83.84375   2.276   1.10293
04/15/2032  3.375  912810FQ6  177.50000  107.78125  107.93750   2.344   1.72245
07/15/2032  0.625  91282CEZ0  290.54829   87.06250   87.21875   2.237   1.05227

01/15/2033  1.125  91282CGK1  297.87606   90.28125   90.43750   2.274   1.02638
07/15/2033  1.375  91282CHP9  303.70803   92.43750   92.59375   2.222   1.00667

02/15/2040  2.125  912810QF8  216.13950   96.84375   97.00000   2.347   1.41452
02/15/2041  2.125  912810QP6  218.99100   96.59375   96.75000   2.353   1.39610
02/15/2042  0.750  912810QV3  225.96062   75.62500   75.81250   2.385   1.35304
02/15/2043  0.625  912810RA8  229.91100   72.56250   72.68750   2.395   1.32979
02/15/2044  1.375  912810RF7  233.05900   83.46875   83.62500   2.395   1.31183

02/15/2045  0.750  912810RL4  235.48150   72.56250   72.71875   2.388   1.29834
02/15/2046  1.000  912810RR1  236.94448   75.78125   75.93750   2.395   1.29032
02/15/2047  0.875  912810RW0  241.39250   72.75000   72.90625   2.395   1.26654
02/15/2048  1.000  912810SB5  246.59650   74.25000   74.40625   2.392   1.23982
02/15/2049  1.000  912810SG4  251.63550   73.65625   73.81250   2.381   1.21499

02/15/2050  0.250  912810SM1  257.09503   58.68750   58.84375   2.353   1.18919
02/15/2051  0.125  912810SV1  260.35150   55.50000   55.65625   2.324   1.17431
02/15/2052  0.125  912810TE8  278.37500   54.68750   54.87500   2.298   1.09828
02/15/2053  1.500  912810TP3  297.25400   82.46875   82.62500   2.318   1.02853
  2. I don't compare against the 0-5 index because it is distorted by the volatile yields of TIPS maturing within the next year. Therefore I would use the 1-5 index as a predictor of performance even of funds (like iShares STIP or Vanguard VTIP) that hold all TIPS maturing in 0 to 5 years.
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by #Cruncher »

  • Edited 03/24 7:45 PM. This week yields fell slightly for all maturities later than July 2024. The yield of the 1+ index dropped 0.13% points to 1.93%. (I'm late with the update this week because I was on the road for a few days.)
  • Edited 03/15 3:40 PM. This week yields rose between 0.15% and 0.25% points for almost all maturities. The yield of the 1+ index climbed 0.21% points to 2.06%.
  • Edited 03/08 3:40 PM. This week yields fell for almost all maturities. The yield of the 1+ index slipped 0.07% points to 1.85%.
  • Edited 03/01 3:50 PM. This week yields fell for all maturities. The yield of the 1+ index dropped 0.13% points to 1.92%. Since it is only 1-1/2 months from maturity, I've removed the April 15 2024 maturity from the 0-5 index.
  • Edited 02/23 3:50 PM. This week yields rose slightly for TIPS maturing 2025-2034 and fell slightly for TIPS maturing after 2034. The yield of the 1+ index edged up 0.02% points to 2.05%.
  • Edited 02/16 5:10 PM. This week yields fell for maturities shorter than two years and were barely changed for longer terms. The yield of the 1+ index edged up 0.01% points to 2.03%.
  • Edited 02/09 4:25 PM. This week yields fell for all maturities shorter than two years and rose slightly for longer terms. The yield of the 1+ index edged up 0.05% points to 2.02%.
  • Edited 02/02 6:50 PM. This week yields rose slightly for short maturities and fell slightly for long. The yield of the 1+ index was unchanged at 1.97%. Adding the new January 2034 maturity starting 1/31 had no effect on any of the index yields when rounded to 2 percentage places.
  • Edited 01/26 4:20 PM. This week yields fell a little for very short maturities and rose a little for long. The yield of the 1+ index barely budged, up 0.01% points to 1.97%.
  • Edited 01/19 3:40 PM. This week yields rose for all maturities beyond 2024. The yield of the 1+ index increased 0.14% points from 1.82% to 1.96%. (1.82% reflects Friday 1/12 yields but with the new weighting which removes the two Jan 2025 maturities and causes the weighted average to drop from 1.88% to 1.82%.)
  • Edited 01/12 3:30 PM. This week yields fell for all maturities; moderately for short maturities but only slightly for long. The yield of the 1+ index dropped 0.20% points to 1.88%.
  • Edited 01/05 4:35 PM. This week yields rose about 0.1% points for most maturities. The yield of the 1+ index increased 0.09% points to 2.08%.

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 0 - 5    1 - 5   1 - 10      1+      15+    <-- index
 -----    -----   ------    -----    -----
 1.81%    1.93%    1.89%    1.93%    2.11%   03/22/2024 Friday
 1.84%    1.98%    1.95%    1.99%    2.19%   03/20/2024 Wednesday
 1.92%    2.05%    2.01%    2.04%    2.19%   03/19/2024 Tuesday
 1.97%    2.10%    2.05%    2.08%    2.20%   03/18/2024 Monday

 1.97%    2.08%    2.03%    2.06%    2.17%   03/15/2024 Friday
 1.94%    2.05%    2.00%    2.03%    2.17%   03/14/2024 Thursday
 1.87%    1.98%    1.92%    1.95%    2.09%   03/13/2024 Wednesday
 1.87%    1.96%    1.91%    1.93%    2.05%   03/12/2024 Tuesday
 1.82%    1.91%    1.86%    1.89%    2.03%   03/11/2024 Monday

 1.77%    1.86%    1.82%    1.85%    2.01%   03/08/2024 Friday
 1.76%    1.87%    1.82%    1.85%    2.00%   03/07/2024 Thursday
 1.79%    1.89%    1.83%    1.86%    1.96%   03/06/2024 Wednesday
 1.82%    1.93%    1.87%    1.89%    1.98%   03/05/2024 Tuesday
 1.90%    2.02%    1.95%    1.97%    2.07%   03/04/2024 Monday

 1.86%    1.96%    1.90%    1.92%    2.05%   03/01/2024 Friday
 1.97%    2.07%    2.00%    2.02%    2.10%   02/29/2024 Thursday - with Apr 2024 excluded
 1.86%    2.07%    2.00%    2.02%    2.10%   02/29/2024 Thursday - with Apr 2024 included
 1.79%    2.00%    1.96%    1.99%    2.13%   02/28/2024 Wednesday
 1.88%    2.08%    2.03%    2.05%    2.17%   02/27/2024 Tuesday
 1.97%    2.13%    2.07%    2.08%    2.16%   02/26/2024 Monday

 1.93%    2.09%    2.03%    2.05%    2.12%   02/23/2024 Friday
 1.97%    2.10%    2.05%    2.07%    2.19%   02/22/2024 Thursday
 1.91%    2.04%    2.00%    2.03%    2.19%   02/21/2024 Wednesday
 1.91%    2.02%    1.97%    2.01%    2.17%   02/20/2024 Tuesday

 1.92%    2.05%    2.00%    2.03%    2.17%   02/16/2024 Friday
 1.92%    2.02%    1.96%    2.00%    2.15%   02/15/2024 Thursday
 1.96%    2.05%    2.00%    2.03%    2.17%   02/14/2024 Wednesday
 2.14%    2.16%    2.09%    2.11%    2.20%   02/13/2024 Tuesday
 2.09%    2.05%    1.99%    2.01%    2.15%   02/12/2024 Monday

 2.10%    2.06%    1.99%    2.02%    2.14%   02/09/2024 Friday
 2.10%    2.05%    1.98%    2.01%    2.14%   02/08/2024 Thursday
 2.08%    2.03%    1.95%    1.97%    2.09%   02/07/2024 Wednesday
 2.11%    2.03%    1.94%    1.97%    2.07%   02/06/2024 Tuesday
 2.25%    2.13%    2.03%    2.05%    2.10%   02/05/2024 Monday

 2.17%    2.06%    1.95%    1.97%    2.03%   02/02/2024 Friday
 2.00%    1.87%    1.77%    1.79%    1.90%   02/01/2024 Thursday
 1.95%    1.86%    1.78%    1.82%    1.99%   01/31/2024 Wednesday <-- Jan 2034 maturity included
 1.95%    1.86%    1.78%    1.82%    1.99%   01/31/2024 Wednesday <-- Jan 2034 maturity excluded
 2.04%    1.95%    1.87%    1.90%    2.05%   01/30/2024 Tuesday
 2.06%    1.94%    1.87%    1.91%    2.08%   01/29/2024 Monday

 2.11%    2.00%    1.94%    1.97%    2.13%   01/26/2024 Friday
 2.10%    1.98%    1.91%    1.95%    2.13%   01/25/2024 Thursday
 2.19%    2.04%    1.97%    2.00%    2.14%   01/24/2024 Wednesday
 2.19%    2.04%    1.96%    1.99%    2.11%   01/23/2024 Tuesday
 2.05%    1.95%    1.87%    1.91%    2.05%   01/22/2024 Monday

 2.19%    2.03%    1.94%    1.96%    2.05%   01/19/2024 Friday
 2.19%    2.02%    1.93%    1.96%    2.09%   01/18/2024 Thursday
 2.26%    2.05%    1.96%    1.98%    2.07%   01/17/2024 Wednesday
 2.15%    1.95%    1.87%    1.91%    2.05%   01/16/2024 Tuesday
 
 2.07%    1.86%    1.79%    1.82%    1.98%   01/12/2024 Friday [*]
 
 2.10%    1.98%    1.86%    1.88%    1.98%   01/12/2024 Friday
 2.21%    2.09%    1.95%    1.96%    2.01%   01/11/2024 Thursday
 2.40%    2.24%    2.08%    2.07%    2.05%   01/10/2024 Wednesday
 2.38%    2.23%    2.06%    2.06%    2.03%   01/09/2024 Tuesday
 2.38%    2.23%    2.05%    2.05%    2.01%   01/08/2024 Monday

 2.41%    2.26%    2.09%    2.08%    2.05%   01/05/2024 Friday
 2.37%    2.23%    2.06%    2.05%    2.01%   01/04/2024 Thursday
 2.33%    2.17%    2.00%    1.99%    1.94%   01/03/2024 Wednesday
 2.37%    2.21%    2.03%    2.02%    1.97%   01/02/2024 Tuesday
* Friday 1/12 yields with new index weighting:

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0-5:                                  Jan 15 2029 maturities added
1-5:  Jan 15 2025 maturities removed; Jan 15 2029 maturities added
1-10: Jan 15 2025 maturities removed
1+:   Jan 15 2025 maturities removed
end of edit

I've updated the Yield to Maturity and Duration Calculator with WSJ TIPS Prices 12/29/2023 [1] and the weighting effect of the 5-year auctions in October & December and the 10-year auction in November. As shown in the table below, the weighted average yield of the bonds in the 1+ years broad index (1.99%) is 0.19% points lower than the yield on the 1-5 year short term index (2.18%) [2] and 0.01% points lower than the 1-10 year index (2.00%).

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  #     Real       Avg  - Real Duration -   - Fall if Rates Rise -
TIPS     YTM      Life  Macaulay Modified     1%       2%       3%       Index
----    -----     ----  -------- --------   -----    -----    -----   ------------
  24    2.38%     2.53     2.48    2.46%    2.41%    4.74%    6.98%   0 - 5 Years
  21    2.18%     2.83     2.78    2.75%    2.70%    5.30%    7.80%   1 - 5 Years
  34    2.00%     4.46     4.34    4.30%    4.17%    8.10%   11.80%   1 - 10 Years
  48    1.99%     7.41     6.90    6.84%    6.40%   12.03%   17.01%   1+ Years
  14    1.95%    21.67    19.28   19.10%   17.16%   31.00%   42.20%   15+ Years
Here is a table showing the trend of yields since October 2012. Compared to three months ago the average yield is significantly lower for all five indexes, most notably average yields of the 1-5, 1-10, and 1+ indexes each fell about 0.5% points.

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  0-5         1-5        1-10          1+         15+

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 2.38%       2.18%       2.00%       1.99%       1.95%    12/29/2023
 2.81%       2.70%       2.54%       2.51%       2.37%    09/29/2023
 2.54%       2.42%       2.16%       2.07%       1.68%    06/30/2023
 1.64%       1.60%       1.46%       1.48%       1.55%    04/28/2023
 1.80%       1.75%       1.57%       1.56%       1.51%    01/31/2023

 2.21%       2.02%       1.91%       1.91%       1.91%    09/30/2022
(0.33%)     (0.06%)      0.23%       0.38%       1.11%    06/30/2022
(2.25%)     (1.69%)     (1.27%)     (1.01%)     (0.04%)   03/31/2022

(2.48%)     (2.19%)     (1.80%)     (1.52%)     (0.48%)   12/31/2021
(2.15%)     (2.05%)     (1.66%)     (1.36%)     (0.25%)   09/30/2021
(2.40%)     (2.23%)     (1.77%)     (1.47%)     (0.28%)   06/30/2021
(2.37%)     (2.19%)     (1.68%)     (1.35%)      0.02%    03/31/2021

(1.81%)     (1.73%)     (1.54%)     (1.32%)     (0.45%)   12/31/2020
(1.20%)     (1.26%)     (1.19%)     (1.03%)     (0.39%)   09/30/2020
(0.79%)     (0.89%)     (0.84%)     (0.71%)     (0.16%)   06/30/2020
 0.10%      (0.34%)     (0.42%)     (0.35%)     (0.07%)   05/29/2020
 0.65%       0.04%      (0.17%)     (0.17%)     (0.14%)   04/30/2020
 0.69%       0.54%       0.26%       0.24%       0.15%    03/31/2020
 
 0.13%       0.07%       0.09%       0.17%       0.54%    12/31/2019
 0.59%       0.42%       0.30%       0.34%       0.53%    09/30/2019
 0.47%       0.35%       0.30%       0.37%       0.75%    06/28/2019
 0.00%       0.37%       0.42%       0.50%       0.89%    03/29/2019

 1.74%       1.22%       1.09%       1.11%       1.20%    12/31/2018
 0.87%       0.83%       0.87%       0.90%       1.04%    09/28/2018
 0.46%       0.58%       0.63%       0.67%       0.84%    06/29/2018
(0.22%)      0.28%       0.43%       0.52%       0.87%    03/29/2018

 0.12%       0.14%       0.25%       0.35%       0.70%    12/29/2017
(0.14%)     (0.11%)      0.12%       0.28%       0.89%    09/29/2017
 0.06%       0.01%       0.23%       0.38%       0.96%    06/30/2017
(0.84%)     (0.47%)     (0.08%)      0.12%       0.89%    03/31/2017

(0.33%)     (0.37%)      0.01%       0.22%       0.97%    12/30/2016
(0.59%)     (0.55%)     (0.30%)     (0.10%)      0.59%    09/30/2016
(0.91%)     (0.67%)     (0.33%)     (0.11%)      0.68%    06/30/2016
(0.96%)     (0.69%)     (0.31%)     (0.07%)      0.83%    03/31/2016
 0.06%      (0.08%)      0.18%       0.37%       1.11%    01/29/2016

 0.22%       0.18%       0.43%       0.61%       1.25%    12/31/2015
 0.33%       0.15%       0.38%       0.55%       1.18%    11/20/2015
 0.30%       0.04%       0.27%       0.45%       1.15%    10/23/2015
 0.42%       0.15%       0.34%       0.50%       1.07%    08/28/2015
(0.08%)     (0.13%)      0.17%       0.35%       1.02%    07/24/2015
(0.78%)     (0.54%)     (0.12%)      0.14%       1.02%    06/19/2015
(0.74%)     (0.60%)     (0.26%)     (0.05%)      0.58%    03/20/2015
 0.16%      (0.24%)     (0.05%)      0.10%       0.60%    01/23/2015

 0.62%       0.13%       0.28%       0.41%       0.81%    12/19/2014
(0.26%)     (0.48%)     (0.10%)      0.17%       0.94%    10/24/2014
(0.30%)     (0.36%)      0.05%       0.31%       1.08%    09/19/2014
(0.92%)     (0.88%)                 (0.10%)      0.83%    07/25/2014
(1.34%)     (1.11%)                 (0.10%)      1.04%    06/20/2014
(1.34%)     (1.13%)                 (0.14%)      1.01%    05/23/2014
(1.36%)     (1.04%)                 (0.03%)      1.07%    04/25/2014
(1.31%)     (0.96%)                  0.09%       1.19%    03/21/2014
(1.47%)     (1.17%)                  0.00%       1.27%    02/21/2014
(1.15%)     (1.01%)                  0.04%       1.19%    01/24/2014

(0.65%)     (0.87%)                  0.18%       1.34%    12/20/2013
(0.75%      (1.00%)                  0.04%       1.27%    11/22/2013
(0.88%)     (1.00%)                 (0.07%)      1.06%    10/25/2013
(0.87%)     (0.91%)                  0.06%       1.19%    09/20/2013
(0.79%)     (0.74%)                  0.21%       1.24%    08/30/2013
(1.16%)     (1.12%)                 (0.12%)      1.02%    07/19/2013
(0.56%)     (0.62%)                  0.21%       1.23%    06/21/2013
(1.18%)     (1.33%)                 (0.62%)      0.44%    05/17/2013
(1.47%)     (1.59%)                 (0.93%)      0.09%    04/26/2013
(2.14%)     (1.89%)                 (0.92%)      0.26%    02/15/2013

(1.29%)     (1.43%)                 (0.87%)     (0.01%)   12/21/2012
(1.28%)     (1.33%)                 (0.78%)      0.06%    10/26/2012
  1. This link shows the latest TIPS quotes from the Wall Street Journal web site. After the close of the next trading day, it will no longer point to the ask prices upon which the spreadsheet and this post are based. Unfortunately the WSJ has stopped providing links to TIPS quotes for particular dates. Therefore, for reference, I'm here listing the quotes from the 12/29/2023 WSJ web page. (However, I have found an alternate historical source: FedInvest Historical Prices.)

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      Matures  Coupon    CUSIP     Base CPI  Bid Price  Ask Price   Yield    Index

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    01/15/2024  0.625  912828B25  233.33058   99.62500   99.68750   9.453   1.31852
04/15/2024  0.500  9128286N5  252.20853   98.71875   98.78125   4.292   1.21983
07/15/2024  0.125  912828WU0  237.44594   98.25000   98.31250   3.301   1.29567
10/15/2024  0.125  912828YL8  256.56513   97.81250   97.87500   2.895   1.19911

01/15/2025  2.375  912810FR4  188.49677   99.21875   99.28125   3.093   1.63213
01/15/2025  0.250  912828H45  236.85403   97.06250   97.12500   3.085   1.29891
04/15/2025  0.125  912828ZJ2  258.30093   96.43750   96.50000   2.928   1.19106
07/15/2025  0.375  912828XL9  237.14365   96.87500   96.93750   2.419   1.29732
10/15/2025  0.125  91282CAQ4  259.46997   96.12500   96.18750   2.328   1.18569

01/15/2026  2.000  912810FS2  198.47742   99.18750   99.25000   2.380   1.55006
01/15/2026  0.625  912828N71  237.61129   96.46875   96.53125   2.381   1.29477
04/15/2026  0.125  91282CCA7  262.25027   95.15625   95.21875   2.282   1.17312
07/15/2026  0.125  912828S50  239.70132   95.25000   95.31250   2.025   1.28348
10/15/2026  0.125  91282CDC2  273.25771   95.00000   95.06250   1.959   1.12586

01/15/2027  2.375  912810PS1  201.66452  100.93750  101.03125   2.026   1.52556
01/15/2027  0.375  912828V49  241.55919   95.06250   95.15625   2.026   1.27361
04/15/2027  0.125  91282CEJ6  282.34640   94.00000   94.09375   1.994   1.08962
07/15/2027  0.375  9128282L3  244.61839   95.06250   95.15625   1.798   1.25768
10/15/2027  1.625  91282CFR7  296.22858   99.28125   99.37500   1.797   1.03856

01/15/2028  1.750  912810PV4  209.49645   99.40625   99.50000   1.879   1.46853
01/15/2028  0.500  9128283R9  246.66571   94.68750   94.75000   1.852   1.24724
04/15/2028  3.625  912810FD5  161.74000  107.12500  107.21875   1.864   1.90213
04/15/2028  1.250  91282CGW5  299.94933   97.43750   97.53125   1.852   1.02568
07/15/2028  0.750  912828Y38  251.01658   95.78125   95.87500   1.699   1.22562

01/15/2029  2.500  912810PZ5  214.69971  103.43750  103.53125   1.764   1.43294
01/15/2029  0.875  9128285W6  252.50248   95.78125   95.87500   1.732   1.21841
04/15/2029  3.875  912810FH6  164.39333  110.31250  110.40625   1.800   1.87143
07/15/2029  0.250  9128287D6  255.79368   92.53125   92.62500   1.651   1.20273

01/15/2030  0.125  912828Z37  257.28368   90.68750   90.81250   1.738   1.19577
07/15/2030  0.125  912828ZZ6  256.39126   90.40625   90.50000   1.667   1.19993

01/15/2031  0.125  91282CBF7  260.31619   89.28125   89.43750   1.725   1.18184
07/15/2031  0.125  91282CCM1  268.02090   89.06250   89.15625   1.661   1.14786

01/15/2032  0.125  91282CDX6  277.20274   87.96875   88.12500   1.712   1.10984
04/15/2032  3.375  912810FQ6  177.50000  112.06250  112.25000   1.780   1.73325
07/15/2032  0.625  91282CEZ0  290.54829   91.53125   91.68750   1.675   1.05886

01/15/2033  1.125  91282CGK1  297.87606   94.81250   94.96875   1.730   1.03282
07/15/2033  1.375  91282CHP9  303.70803   97.09375   97.25000   1.689   1.01298

02/15/2040  2.125  912810QF8  216.13950  103.06250  103.21875   1.892   1.42339
02/15/2041  2.125  912810QP6  218.99100  103.09375  103.25000   1.901   1.40486
02/15/2042  0.750  912810QV3  225.96062   81.43750   81.59375   1.961   1.36152
02/15/2043  0.625  912810RA8  229.91100   78.46875   78.62500   1.972   1.33813
02/15/2044  1.375  912810RF7  233.05900   89.78125   89.93750   1.984   1.32006

02/15/2045  0.750  912810RL4  235.48150   78.62500   78.78125   1.985   1.30648
02/15/2046  1.000  912810RR1  236.94448   82.25000   82.43750   1.986   1.29841
02/15/2047  0.875  912810RW0  241.39250   79.25000   79.43750   1.990   1.27448
02/15/2048  1.000  912810SB5  246.59650   81.12500   81.31250   1.979   1.24759
02/15/2049  1.000  912810SG4  251.63550   80.87500   81.06250   1.959   1.22261

02/15/2050  0.250  912810SM1  257.09503   65.53125   65.68750   1.928   1.19664
02/15/2051  0.125  912810SV1  260.35150   62.28125   62.43750   1.905   1.18168
02/15/2052  0.125  912810TE8  278.37500   61.78125   61.93750   1.870   1.10517
02/15/2053  1.500  912810TP3  297.25400   91.12500   91.28125   1.890   1.03498
  2. I don't compare against the 0-5 index because it is distorted by the volatile yields of TIPS maturing within the next year. Therefore I would use the 1-5 index as a predictor of performance even of funds (like iShares STIP or Vanguard VTIP) that hold all TIPS maturing in 0 to 5 years.
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by #Cruncher »

  • Edited 06/21 3:35 PM. Yields barely changed this week. The average yield of the 1+ index slipped 0.03% points to 2.19%.
  • Edited 06/14 4:00 PM. Yields fell slightly for TIPS maturing in 2027 and later. The average yield of the 1+ index slipped 0.06% points to 2.22%.
  • Edited 06/07 3:55 PM. After a bumpy week, yields ended little changed. The average yield of the 1+ index edged up 0.01% points to 2.28%. Since it matures within about six weeks, I've removed the July 15, 2024 maturity from the 0-5 index.
  • Edited 05/31 3:50 PM. Yields ended the week with little change. The average yield of the 1+ index slipped 0.02% points to 2.27%.
  • Edited 05/24 3:35 PM. Yields rose slightly for all TIPS this week. The average yield of the 1+ index climbed 0.08% points to 2.29%.
  • Edited 05/17 3:45 PM. Yields rose for TIPS maturing October 2025 and earlier, but fell slightly for later maturing ones. The average yield of the 1+ index fell 0.05% points to 2.21%.
  • Edited 05/13 5:05 AM. Yields rose over the past five weeks, from 0.26% points for the 1-5 index down to 0.06% points for the 15+ index. The average yield of the 1+ index rose 0.19% points to 2.26%. (Until the end of May I'll still use the weights from the end of March and will exclude the newly auctioned 5-year maturing April 2029. But this should have little effect on the average yields of the five indexes.)
  • Edited 04/05 3:20 PM. This week yields rose slightly for all but three maturities. The average yield of the 1+ index rose 0.09% points to 2.07%. (I'll be away for a few weeks and won't be able to update this post until May 12.)

Code: Select all

 0 - 5    1 - 5   1 - 10      1+      15+    <-- index
 -----    -----   ------    -----    -----
 2.59%    2.34%    2.21%    2.19%    2.14%   06/21/2024 Friday
 2.58%    2.33%    2.20%    2.18%    2.12%   06/20/2024 Thursday
 2.61%    2.35%    2.21%    2.19%    2.10%   06/18/2024 Tuesday
 2.69%    2.44%    2.29%    2.27%    2.15%   06/17/2024 Monday

 2.62%    2.38%    2.24%    2.22%    2.12%   06/14/2024 Friday
 2.58%    2.34%    2.21%    2.19%    2.13%   06/13/2024 Thursday
 2.63%    2.39%    2.25%    2.24%    2.17%   06/12/2024 Wednesday
 2.58%    2.38%    2.26%    2.26%    2.22%   06/11/2024 Tuesday
 2.63%    2.43%    2.32%    2.31%    2.27%   06/10/2024 Monday

 2.62%    2.42%    2.29%    2.28%    2.23%   06/07/2024 Friday
 2.46%    2.26%    2.14%    2.14%    2.12%   06/06/2024 Thursday
 2.47%    2.27%    2.15%    2.14%    2.12%   06/05/2024 Wednesday
 2.50%    2.30%    2.18%    2.17%    2.15%   06/04/2024 Tuesday
 2.48%    2.30%    2.20%    2.20%    2.20%   06/03/2024 Monday
 
 2.49%    2.35%    2.26%    2.27%    2.29%   05/31/2024 Friday - with July 2024 removed

 2.41%    2.36%    2.26%    2.27%    2.29%   05/31/2024 Friday
 2.43%    2.39%    2.30%    2.31%    2.32%   05/30/2024 Thursday
 2.48%    2.45%    2.37%    2.37%    2.39%   05/29/2024 Wednesday
 2.45%    2.42%    2.32%    2.33%    2.33%   05/28/2024 Tuesday

 2.43%    2.40%    2.29%    2.29%    2.26%   05/24/2024 Friday
 2.41%    2.39%    2.28%    2.28%    2.25%   05/23/2024 Thursday
 2.35%    2.33%    2.23%    2.23%    2.21%   05/22/2024 Wednesday
 2.32%    2.30%    2.20%    2.21%    2.22%   05/21/2024 Tuesday
 2.34%    2.32%    2.22%    2.23%    2.23%   05/20/2024 Monday

 2.33%    2.31%    2.21%    2.21%    2.22%   05/17/2024 Friday
 2.31%    2.29%    2.19%    2.19%    2.20%   05/16/2024 Thursday
 2.25%    2.24%    2.15%    2.15%    2.19%   05/15/2024 Wednesday
 2.24%    2.30%    2.22%    2.23%    2.28%   05/13/2024 Monday

 2.25%    2.35%    2.26%    2.26%    2.29%   05/10/2024 Friday

 1.97%    2.09%    2.04%    2.07%    2.23%   04/05/2024 Friday
 1.91%    2.04%    1.99%    2.02%    2.17%   04/04/2024 Thursday
 1.96%    2.08%    2.03%    2.06%    2.21%   04/03/2024 Wednesday
 1.99%    2.11%    2.05%    2.08%    2.21%   04/02/2024 Tuesday
 2.00%    2.12%    2.05%    2.07%    2.18%   04/01/2024 Monday
end of edit

I've updated the Yield to Maturity and Duration Calculator with WSJ TIPS Prices 03/28/2024 (bond market closed for 3/29 holiday) [1] and the weighting effect of the 10-year auctions in January and March and the 30-year auction in February. As shown in the table below, the weighted average yield of the bonds in the 1+ years broad index (1.98%) is 0.05% points lower than the yield on the 1-5 year short term index (2.03%) [2] and 0.02% points higher than the 1-10 year index (1.96%).

Code: Select all

  #     Real       Avg  - Real Duration -   - Fall if Rates Rise -
TIPS     YTM      Life  Macaulay Modified     1%       2%       3%       Index
----    -----     ----  -------- --------   -----    -----    -----   ------------
  25    1.92%     2.51     2.46    2.44%    2.39%    4.70%    6.92%   0 - 5 Years (excludes April 2024 maturity)
  21    2.03%     2.95     2.89    2.86%    2.81%    5.51%    8.12%   1 - 5 Years
  33    1.96%     4.59     4.46    4.42%    4.28%    8.31%   12.09%   1 - 10 Years
  48    1.98%     7.65     7.10    7.03%    6.57%   12.35%   17.46%   1+ Years
  15    2.09%    21.67    19.18   18.98%   17.07%   30.84%   42.00%   15+ Years
Here is a table showing the trend of yields since October 2012. Compared to three months ago the curve has flattened. Short term yields are down slightly while long term yields are up slightly.

Code: Select all

  0-5         1-5        1-10          1+         15+

Code: Select all

 1.92%       2.03%       1.96%       1.98%       2.09%    03/28/2024

 2.38%       2.18%       2.00%       1.99%       1.95%    12/29/2023
 2.81%       2.70%       2.54%       2.51%       2.37%    09/29/2023
 2.54%       2.42%       2.16%       2.07%       1.68%    06/30/2023
 1.64%       1.60%       1.46%       1.48%       1.55%    04/28/2023
 1.80%       1.75%       1.57%       1.56%       1.51%    01/31/2023

 2.21%       2.02%       1.91%       1.91%       1.91%    09/30/2022
(0.33%)     (0.06%)      0.23%       0.38%       1.11%    06/30/2022
(2.25%)     (1.69%)     (1.27%)     (1.01%)     (0.04%)   03/31/2022

(2.48%)     (2.19%)     (1.80%)     (1.52%)     (0.48%)   12/31/2021
(2.15%)     (2.05%)     (1.66%)     (1.36%)     (0.25%)   09/30/2021
(2.40%)     (2.23%)     (1.77%)     (1.47%)     (0.28%)   06/30/2021
(2.37%)     (2.19%)     (1.68%)     (1.35%)      0.02%    03/31/2021

(1.81%)     (1.73%)     (1.54%)     (1.32%)     (0.45%)   12/31/2020
(1.20%)     (1.26%)     (1.19%)     (1.03%)     (0.39%)   09/30/2020
(0.79%)     (0.89%)     (0.84%)     (0.71%)     (0.16%)   06/30/2020
 0.10%      (0.34%)     (0.42%)     (0.35%)     (0.07%)   05/29/2020
 0.65%       0.04%      (0.17%)     (0.17%)     (0.14%)   04/30/2020
 0.69%       0.54%       0.26%       0.24%       0.15%    03/31/2020
 
 0.13%       0.07%       0.09%       0.17%       0.54%    12/31/2019
 0.59%       0.42%       0.30%       0.34%       0.53%    09/30/2019
 0.47%       0.35%       0.30%       0.37%       0.75%    06/28/2019
 0.00%       0.37%       0.42%       0.50%       0.89%    03/29/2019

 1.74%       1.22%       1.09%       1.11%       1.20%    12/31/2018
 0.87%       0.83%       0.87%       0.90%       1.04%    09/28/2018
 0.46%       0.58%       0.63%       0.67%       0.84%    06/29/2018
(0.22%)      0.28%       0.43%       0.52%       0.87%    03/29/2018

 0.12%       0.14%       0.25%       0.35%       0.70%    12/29/2017
(0.14%)     (0.11%)      0.12%       0.28%       0.89%    09/29/2017
 0.06%       0.01%       0.23%       0.38%       0.96%    06/30/2017
(0.84%)     (0.47%)     (0.08%)      0.12%       0.89%    03/31/2017

(0.33%)     (0.37%)      0.01%       0.22%       0.97%    12/30/2016
(0.59%)     (0.55%)     (0.30%)     (0.10%)      0.59%    09/30/2016
(0.91%)     (0.67%)     (0.33%)     (0.11%)      0.68%    06/30/2016
(0.96%)     (0.69%)     (0.31%)     (0.07%)      0.83%    03/31/2016
 0.06%      (0.08%)      0.18%       0.37%       1.11%    01/29/2016

 0.22%       0.18%       0.43%       0.61%       1.25%    12/31/2015
 0.33%       0.15%       0.38%       0.55%       1.18%    11/20/2015
 0.30%       0.04%       0.27%       0.45%       1.15%    10/23/2015
 0.42%       0.15%       0.34%       0.50%       1.07%    08/28/2015
(0.08%)     (0.13%)      0.17%       0.35%       1.02%    07/24/2015
(0.78%)     (0.54%)     (0.12%)      0.14%       1.02%    06/19/2015
(0.74%)     (0.60%)     (0.26%)     (0.05%)      0.58%    03/20/2015
 0.16%      (0.24%)     (0.05%)      0.10%       0.60%    01/23/2015

 0.62%       0.13%       0.28%       0.41%       0.81%    12/19/2014
(0.26%)     (0.48%)     (0.10%)      0.17%       0.94%    10/24/2014
(0.30%)     (0.36%)      0.05%       0.31%       1.08%    09/19/2014
(0.92%)     (0.88%)                 (0.10%)      0.83%    07/25/2014
(1.34%)     (1.11%)                 (0.10%)      1.04%    06/20/2014
(1.34%)     (1.13%)                 (0.14%)      1.01%    05/23/2014
(1.36%)     (1.04%)                 (0.03%)      1.07%    04/25/2014
(1.31%)     (0.96%)                  0.09%       1.19%    03/21/2014
(1.47%)     (1.17%)                  0.00%       1.27%    02/21/2014
(1.15%)     (1.01%)                  0.04%       1.19%    01/24/2014

(0.65%)     (0.87%)                  0.18%       1.34%    12/20/2013
(0.75%      (1.00%)                  0.04%       1.27%    11/22/2013
(0.88%)     (1.00%)                 (0.07%)      1.06%    10/25/2013
(0.87%)     (0.91%)                  0.06%       1.19%    09/20/2013
(0.79%)     (0.74%)                  0.21%       1.24%    08/30/2013
(1.16%)     (1.12%)                 (0.12%)      1.02%    07/19/2013
(0.56%)     (0.62%)                  0.21%       1.23%    06/21/2013
(1.18%)     (1.33%)                 (0.62%)      0.44%    05/17/2013
(1.47%)     (1.59%)                 (0.93%)      0.09%    04/26/2013
(2.14%)     (1.89%)                 (0.92%)      0.26%    02/15/2013

(1.29%)     (1.43%)                 (0.87%)     (0.01%)   12/21/2012
(1.28%)     (1.33%)                 (0.78%)      0.06%    10/26/2012
  1. This link shows the latest TIPS quotes from the Wall Street Journal web site. After the close of the next trading day, it will no longer point to the ask prices upon which the spreadsheet and this post are based. Unfortunately the WSJ has stopped providing links to TIPS quotes for particular dates. Therefore, for reference, I'm here listing the quotes from the 03/28/2024 WSJ web page. (However, I have found an alternate historical source: FedInvest Historical Prices.)

    Code: Select all

      Matures  Coupon    CUSIP     Base CPI  Bid Price  Ask Price   Yield    Index

    Code: Select all

    04/15/2024  0.500  9128286N5  252.20853  100.06250  100.09375  (1.560)  1.22287
07/15/2024  0.125  912828WU0  237.44594  100.12500  100.12500  (0.332)  1.29889
10/15/2024  0.125  912828YL8  256.56513   99.40625   99.43750   1.192   1.20210

01/15/2025  2.375  912810FR4  188.49677   99.90625   99.90625   2.486   1.63619
01/15/2025  0.250  912828H45  236.85403   98.28125   98.28125   2.453   1.30214
04/15/2025  0.125  912828ZJ2  258.30093   97.56250   97.56250   2.507   1.19402
07/15/2025  0.375  912828XL9  237.14365   97.81250   97.84375   2.083   1.30055
10/15/2025  0.125  91282CAQ4  259.46997   97.06250   97.09375   2.057   1.18864

01/15/2026  2.000  912810FS2  198.47742   99.56250   99.59375   2.231   1.55391
01/15/2026  0.625  912828N71  237.61129   97.12500   97.15625   2.252   1.29799
04/15/2026  0.125  91282CCA7  262.25027   95.81250   95.84375   2.227   1.17604
07/15/2026  0.125  912828S50  239.70132   95.87500   95.90625   1.957   1.28667
10/15/2026  0.125  91282CDC2  273.25771   95.40625   95.43750   1.981   1.12867

01/15/2027  2.375  912810PS1  201.66452  100.84375  100.87500   2.047   1.52936
01/15/2027  0.375  912828V49  241.55919   95.40625   95.43750   2.064   1.27678
04/15/2027  0.125  91282CEJ6  282.34640   94.21875   94.25000   2.087   1.09234
07/15/2027  0.375  9128282L3  244.61839   95.15625   95.21875   1.882   1.26081
10/15/2027  1.625  91282CFR7  296.22858   99.03125   99.06250   1.897   1.04115

01/15/2028  1.750  912810PV4  209.49645   99.15625   99.21875   1.965   1.47218
01/15/2028  0.500  9128283R9  246.66571   94.62500   94.68750   1.963   1.25034
04/15/2028  3.625  912810FD5  161.74000  106.37500  106.43750   1.962   1.90687
04/15/2028  1.250  91282CGW5  299.94933   97.12500   97.18750   1.978   1.02823
07/15/2028  0.750  912828Y38  251.01658   95.59375   95.65625   1.806   1.22867

01/15/2029  2.500  912810PZ5  214.69971  102.84375  102.90625   1.863   1.43650
01/15/2029  0.875  9128285W6  252.50248   95.43750   95.50000   1.862   1.22144
04/15/2029  3.875  912810FH6  164.39333  109.37500  109.46875   1.898   1.87609
07/15/2029  0.250  9128287D6  255.79368   92.25000   92.31250   1.780   1.20573

01/15/2030  0.125  912828Z37  257.28368   90.53125   90.59375   1.844   1.19874
07/15/2030  0.125  912828ZZ6  256.39126   90.09375   90.15625   1.786   1.20292

01/15/2031  0.125  91282CBF7  260.31619   88.96875   89.06250   1.846   1.18478
07/15/2031  0.125  91282CCM1  268.02090   88.53125   88.62500   1.799   1.15072

01/15/2032  0.125  91282CDX6  277.20274   87.40625   87.50000   1.855   1.11260
04/15/2032  3.375  912810FQ6  177.50000  110.78125  110.90625   1.905   1.73756
07/15/2032  0.625  91282CEZ0  290.54829   90.71875   90.81250   1.824   1.06150

01/15/2033  1.125  91282CGK1  297.87606   93.84375   93.96875   1.874   1.03539
07/15/2033  1.375  91282CHP9  303.70803   96.00000   96.12500   1.830   1.01550

01/15/2034  1.750  91282CJY8  307.39100   98.78125   98.90625   1.874   1.00334

02/15/2040  2.125  912810QF8  216.13950  101.28125  101.46875   2.015   1.42693
02/15/2041  2.125  912810QP6  218.99100  101.37500  101.56250   2.015   1.40835
02/15/2042  0.750  912810QV3  225.96062   79.87500   80.06250   2.093   1.36491
02/15/2043  0.625  912810RA8  229.91100   76.84375   77.03125   2.106   1.34146
02/15/2044  1.375  912810RF7  233.05900   87.75000   87.96875   2.120   1.32334

02/15/2045  0.750  912810RL4  235.48150   76.78125   76.96875   2.121   1.30973
02/15/2046  1.000  912810RR1  236.94448   80.09375   80.34375   2.130   1.30164
02/15/2047  0.875  912810RW0  241.39250   77.15625   77.37500   2.129   1.27766
02/15/2048  1.000  912810SB5  246.59650   78.78125   79.03125   2.125   1.25069
02/15/2049  1.000  912810SG4  251.63550   78.40625   78.65625   2.108   1.22565

02/15/2050  0.250  912810SM1  257.09503   63.18750   63.40625   2.088   1.19962
02/15/2051  0.125  912810SV1  260.35150   59.84375   60.06250   2.070   1.18462
02/15/2052  0.125  912810TE8  278.37500   58.87500   59.12500   2.060   1.10792
02/15/2053  1.500  912810TP3  297.25400   87.34375   87.62500   2.071   1.03755
02/15/2054  2.125  912810TY4  306.90376  101.15625  101.46875   2.058   1.00493
  2. I don't compare against the 0-5 index because it is distorted by the volatile yields of TIPS maturing within the next year. Therefore I would use the 1-5 index as a predictor of performance even of funds (like iShares STIP or Vanguard VTIP) that hold all TIPS maturing in 0 to 5 years.
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#Cruncher
Posts: 4094
Joined: Fri May 14, 2010 2:33 am
Location: New York City
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by #Cruncher »

  • Edited 09/27 4:15 PM. Yields hardly changed for any TIPS maturities this week. The average yield of the 1+ index was unchanged at 1.58%.
  • Edited 09/20 4:20 PM. This week yields fell for short-term TIPS (e.g., down 0.09% points for the 1-5 index), but edged up for long-term (e.g., up 0.03% for the 15+ index). The average yield of the 1+ index fell 0.04% points to 1.58%.
  • Edited 09/13 3:50 PM. This week yields continued to fall for all TIPS except the one maturing next month. The average yield of the 1+ index fell 0.14% points to 1.62%. Since the end of June, it has fallen 0.60% points!
  • Edited 09/06 3:35 PM. This week yields fell slightly for all TIPS maturing in over one year. The average yield of the 1+ index fell 0.10% points to 1.76%.
  • Edited 09/01 4:00 PM. Back from vacation. TIPS yields on 8/30 were slightly lower than on 8/9, when I last updated this thread . The average yield of the 1+ index fell 0.11% points to 1.86%.
  • Edited 08/13 4:00 PM. Will be on vacation until end of month and unable to update this post until return.
  • Edited 08/09 3:55 PM. TIPS yields rose slightly for all maturities 2026 and later. The average yield of the 1+ index gained 0.10% points to 1.97%.
  • Edited 08/02 4:25 PM. TIPS yields fell last week for all maturities longer than 6 months, particularly on Thursday and Friday. The average yield of the 1+ index tumbled 0.23% points to 1.87%.
  • Edited 07/26 4:45 PM. TIPS yields barely changed last week for all maturities. The average yield of the 1+ index remained at 2.10%.
  • Edited 07/19 3:40 PM. Except for very short maturities, TIPS yields barely changed last week. The average yield of the 1+ index slipped only 0.01% points to 2.10%.
  • Edited 07/12 4:25 PM. Yields rose significantly for TIPS maturing in less than two years, but drifted lower for longer maturities. The average yield of the 1+ index slipped only 0.01% points to 2.11%.
  • Edited 07/05 4:05 PM. Yields fell slightly this week for almost all maturities. The average yield of the 1+ index dropped 0.10% points to 2.12%.

Code: Select all

 0 - 5    1 - 5   1 - 10      1+      15+    <-- index
 -----    -----   ------    -----    -----
 1.97%    1.52%    1.51%    1.58%    1.89%   09/27/2024 Friday
 2.03%    1.58%    1.56%    1.62%    1.90%   09/26/2024 Thursday
 1.96%    1.52%    1.51%    1.58%    1.91%   09/25/2024 Wednesday
 1.95%    1.49%    1.48%    1.55%    1.86%   09/24/2024 Tuesday
 1.99%    1.54%    1.52%    1.58%    1.87%   09/23/2024 Monday

 1.99%    1.53%    1.51%    1.58%    1.87%   09/20/2024 Friday
 2.05%    1.58%    1.55%    1.61%    1.88%   09/19/2024 Thursday
 2.05%    1.57%    1.53%    1.58%    1.82%   09/18/2024 Wednesday
 2.12%    1.61%    1.55%    1.59%    1.79%   09/17/2024 Tuesday
 2.11%    1.60%    1.54%    1.59%    1.80%   09/16/2024 Monday

 2.16%    1.62%    1.57%    1.62%    1.84%   09/13/2024 Friday
 2.25%    1.70%    1.64%    1.69%    1.89%   09/12/2024 Thursday
 2.30%    1.73%    1.66%    1.70%    1.87%   09/11/2024 Wednesday
 2.30%    1.75%    1.67%    1.71%    1.87%   09/10/2024 Tuesday
 2.36%    1.80%    1.72%    1.75%    1.90%   09/09/2024 Monday

 2.31%    1.79%    1.72%    1.76%    1.92%   09/06/2024 Friday
 2.37%    1.85%    1.77%    1.80%    1.93%   09/05/2024 Thursday
 2.35%    1.86%    1.78%    1.81%    1.95%   09/04/2024 Wednesday
 2.38%    1.89%    1.80%    1.83%    1.96%   09/03/2024 Tuesday

 2.38%    1.90%    1.83%    1.86%    2.02%   08/30/2024 Friday
 
 2.52%    2.05%    1.95%    1.97%    2.06%   08/09/2024 Friday
 2.54%    2.06%    1.98%    2.00%    2.12%   08/08/2024 Thursday
 2.51%    2.03%    1.94%    1.96%    2.08%   08/07/2024 Wednesday
 2.50%    2.01%    1.91%    1.93%    2.01%   08/06/2024 Tuesday
 2.47%    1.97%    1.87%    1.89%    1.95%   08/05/2024 Monday

 2.43%    1.94%    1.84%    1.87%    1.98%   08/02/2024 Friday
 2.45%    2.00%    1.90%    1.93%    2.04%   08/01/2024 Thursday
 2.59%    2.15%    2.04%    2.05%    2.11%   07/31/2024 Wednesday
 2.59%    2.14%    2.04%    2.06%    2.12%   07/30/2024 Tuesday
 2.62%    2.16%    2.07%    2.08%    2.15%   07/29/2024 Monday

 2.62%    2.17%    2.08%    2.10%    2.18%   07/26/2024 Friday
 2.68%    2.23%    2.14%    2.15%    2.21%   07/25/2024 Thursday
 2.65%    2.21%    2.13%    2.15%    2.25%   07/24/2024 Wednesday
 2.65%    2.20%    2.11%    2.12%    2.17%   07/23/2024 Tuesday

 2.64%    2.19%    2.10%    2.10%    2.14%   07/19/2024 Friday
 2.59%    2.14%    2.04%    2.05%    2.11%   07/18/2024 Thursday
 2.55%    2.11%    2.01%    2.02%    2.06%   07/17/2024 Wednesday
 2.56%    2.13%    2.03%    2.03%    2.06%   07/16/2024 Tuesday        ^ ^ ^
 2.55%    2.16%    2.07%    2.08%    2.15%   07/15/2024 Monday : E.g., 1-5 index includes: 10/15/25 - 7/15/2029
 2.58%    2.23%    2.10%    2.11%    2.15%   07/15/2024 Monday : E.g., 1-5 index includes: 07/15/25 - 4/15/2029

 2.60%    2.24%    2.11%    2.11%    2.12%   07/12/2024 Friday
 2.58%    2.23%    2.11%    2.11%    2.12%   07/11/2024 Thursday
 2.55%    2.26%    2.15%    2.15%    2.17%   07/10/2024 Wednesday
 2.53%    2.25%    2.15%    2.16%    2.19%   07/09/2024 Tuesday
 2.51%    2.23%    2.12%    2.13%    2.15%   07/08/2024 Monday

 2.48%    2.22%    2.12%    2.12%    2.15%   07/05/2024 Friday
 2.56%    2.31%    2.20%    2.21%    2.22%   07/03/2024 Wednesday
 2.58%    2.33%    2.24%    2.25%    2.29%   07/02/2024 Tuesday
 2.62%    2.38%    2.28%    2.29%    2.32%   07/01/2024 Monday
 
 2.57%    2.33%    2.22%    2.22%    2.21%   06/28/2024 Friday
end of edit

I've updated the Yield to Maturity and Duration Calculator with WSJ TIPS Prices 06/28/2024 [1] and the weighting effect of the 5-year auctions in April & June and the 10-year auction in May. As shown in the table below, the weighted average yield of the bonds in the 1+ years broad index (2.22%) is 0.11% points lower than the yield on the 1-5 year short term index (2.33%) [2] and the same as the 1-10 year index (2.22%).

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  #     Real       Avg  - Real Duration -   - Fall if Rates Rise -
TIPS     YTM      Life  Macaulay Modified     1%       2%       3%       Index
----    -----     ----  -------- --------   -----    -----    -----   ------------
  27    2.57%     2.57     2.51    2.48%    2.43%    4.77%    7.03%   0 - 5 Years
  22    2.33%     2.99     2.91    2.88%    2.82%    5.54%    8.16%   1 - 5 Years
  33    2.22%     4.52     4.38    4.34%    4.21%    8.16%   11.89%   1 - 10 Years
  48    2.22%     7.47     6.92    6.84%    6.41%   12.06%   17.06%   1+ Years
  15    2.21%    21.40    18.88   18.67%   16.81%   30.41%   41.45%   15+ Years
Here is a table showing the trend of yields since October 2012. Compared to three months ago short term yields are up moderately while long term are up only slightly. (The 7/15/2024 maturity is omitted from the 0-5 index on 6/28/2024.)

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  0-5         1-5        1-10          1+         15+

Code: Select all

 2.57%       2.33%       2.22%       2.22%       2.21%    06/28/2024
 1.92%       2.03%       1.96%       1.98%       2.09%    03/28/2024

 2.38%       2.18%       2.00%       1.99%       1.95%    12/29/2023
 2.81%       2.70%       2.54%       2.51%       2.37%    09/29/2023
 2.54%       2.42%       2.16%       2.07%       1.68%    06/30/2023
 1.64%       1.60%       1.46%       1.48%       1.55%    04/28/2023
 1.80%       1.75%       1.57%       1.56%       1.51%    01/31/2023

 2.21%       2.02%       1.91%       1.91%       1.91%    09/30/2022
(0.33%)     (0.06%)      0.23%       0.38%       1.11%    06/30/2022
(2.25%)     (1.69%)     (1.27%)     (1.01%)     (0.04%)   03/31/2022

(2.48%)     (2.19%)     (1.80%)     (1.52%)     (0.48%)   12/31/2021
(2.15%)     (2.05%)     (1.66%)     (1.36%)     (0.25%)   09/30/2021
(2.40%)     (2.23%)     (1.77%)     (1.47%)     (0.28%)   06/30/2021
(2.37%)     (2.19%)     (1.68%)     (1.35%)      0.02%    03/31/2021

(1.81%)     (1.73%)     (1.54%)     (1.32%)     (0.45%)   12/31/2020
(1.20%)     (1.26%)     (1.19%)     (1.03%)     (0.39%)   09/30/2020
(0.79%)     (0.89%)     (0.84%)     (0.71%)     (0.16%)   06/30/2020
 0.10%      (0.34%)     (0.42%)     (0.35%)     (0.07%)   05/29/2020
 0.65%       0.04%      (0.17%)     (0.17%)     (0.14%)   04/30/2020
 0.69%       0.54%       0.26%       0.24%       0.15%    03/31/2020
 
 0.13%       0.07%       0.09%       0.17%       0.54%    12/31/2019
 0.59%       0.42%       0.30%       0.34%       0.53%    09/30/2019
 0.47%       0.35%       0.30%       0.37%       0.75%    06/28/2019
 0.00%       0.37%       0.42%       0.50%       0.89%    03/29/2019

 1.74%       1.22%       1.09%       1.11%       1.20%    12/31/2018
 0.87%       0.83%       0.87%       0.90%       1.04%    09/28/2018
 0.46%       0.58%       0.63%       0.67%       0.84%    06/29/2018
(0.22%)      0.28%       0.43%       0.52%       0.87%    03/29/2018

 0.12%       0.14%       0.25%       0.35%       0.70%    12/29/2017
(0.14%)     (0.11%)      0.12%       0.28%       0.89%    09/29/2017
 0.06%       0.01%       0.23%       0.38%       0.96%    06/30/2017
(0.84%)     (0.47%)     (0.08%)      0.12%       0.89%    03/31/2017

(0.33%)     (0.37%)      0.01%       0.22%       0.97%    12/30/2016
(0.59%)     (0.55%)     (0.30%)     (0.10%)      0.59%    09/30/2016
(0.91%)     (0.67%)     (0.33%)     (0.11%)      0.68%    06/30/2016
(0.96%)     (0.69%)     (0.31%)     (0.07%)      0.83%    03/31/2016
 0.06%      (0.08%)      0.18%       0.37%       1.11%    01/29/2016

 0.22%       0.18%       0.43%       0.61%       1.25%    12/31/2015
 0.33%       0.15%       0.38%       0.55%       1.18%    11/20/2015
 0.30%       0.04%       0.27%       0.45%       1.15%    10/23/2015
 0.42%       0.15%       0.34%       0.50%       1.07%    08/28/2015
(0.08%)     (0.13%)      0.17%       0.35%       1.02%    07/24/2015
(0.78%)     (0.54%)     (0.12%)      0.14%       1.02%    06/19/2015
(0.74%)     (0.60%)     (0.26%)     (0.05%)      0.58%    03/20/2015
 0.16%      (0.24%)     (0.05%)      0.10%       0.60%    01/23/2015

 0.62%       0.13%       0.28%       0.41%       0.81%    12/19/2014
(0.26%)     (0.48%)     (0.10%)      0.17%       0.94%    10/24/2014
(0.30%)     (0.36%)      0.05%       0.31%       1.08%    09/19/2014
(0.92%)     (0.88%)                 (0.10%)      0.83%    07/25/2014
(1.34%)     (1.11%)                 (0.10%)      1.04%    06/20/2014
(1.34%)     (1.13%)                 (0.14%)      1.01%    05/23/2014
(1.36%)     (1.04%)                 (0.03%)      1.07%    04/25/2014
(1.31%)     (0.96%)                  0.09%       1.19%    03/21/2014
(1.47%)     (1.17%)                  0.00%       1.27%    02/21/2014
(1.15%)     (1.01%)                  0.04%       1.19%    01/24/2014

(0.65%)     (0.87%)                  0.18%       1.34%    12/20/2013
(0.75%      (1.00%)                  0.04%       1.27%    11/22/2013
(0.88%)     (1.00%)                 (0.07%)      1.06%    10/25/2013
(0.87%)     (0.91%)                  0.06%       1.19%    09/20/2013
(0.79%)     (0.74%)                  0.21%       1.24%    08/30/2013
(1.16%)     (1.12%)                 (0.12%)      1.02%    07/19/2013
(0.56%)     (0.62%)                  0.21%       1.23%    06/21/2013
(1.18%)     (1.33%)                 (0.62%)      0.44%    05/17/2013
(1.47%)     (1.59%)                 (0.93%)      0.09%    04/26/2013
(2.14%)     (1.89%)                 (0.92%)      0.26%    02/15/2013

(1.29%)     (1.43%)                 (0.87%)     (0.01%)   12/21/2012
(1.28%)     (1.33%)                 (0.78%)      0.06%    10/26/2012
  1. This link shows the latest TIPS quotes from the Wall Street Journal web site. After the close of the next trading day, it will no longer point to the ask prices upon which the spreadsheet and this post are based. Unfortunately the WSJ has stopped providing links to TIPS quotes for particular dates. Therefore, for reference, I'm here listing the quotes from the 06/28/2024 WSJ web page. (However, I have found an alternate historical source: FedInvest Historical Prices.)

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      Matures  Coupon    CUSIP     Base CPI  Bid Price  Ask Price   Yield    Index

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    07/15/2024  0.125  912828WU0  237.44594   99.93750   99.93750   1.357   1.32050
10/15/2024  0.125  912828YL8  256.56513   99.06250   99.06250   3.392   1.22210

01/15/2025  2.375  912810FR4  188.49677   99.15625   99.15625   3.959   1.66341
01/15/2025  0.250  912828H45  236.85403   98.03125   98.06250   3.939   1.32380
04/15/2025  0.125  912828ZJ2  258.30093   97.34375   97.37500   3.540   1.21389
07/15/2025  0.375  912828XL9  237.14365   97.53125   97.53125   2.802   1.32219
10/15/2025  0.125  91282CAQ4  259.46997   96.71875   96.71875   2.723   1.20842

01/15/2026  2.000  912810FS2  198.47742   98.78125   98.78125   2.807   1.57977
01/15/2026  0.625  912828N71  237.61129   96.75000   96.75000   2.791   1.31958
04/15/2026  0.125  91282CCA7  262.25027   95.53125   95.56250   2.690   1.19561
07/15/2026  0.125  912828S50  239.70132   95.50000   95.53125   2.390   1.30808
10/15/2026  0.125  91282CDC2  273.25771   95.15625   95.18750   2.293   1.14744

01/15/2027  2.375  912810PS1  201.66452   99.90625   99.96875   2.392   1.55480
01/15/2027  0.375  912828V49  241.55919   95.03125   95.06250   2.390   1.29802
04/15/2027  0.125  91282CEJ6  282.34640   93.96875   94.03125   2.353   1.11051
07/15/2027  0.375  9128282L3  244.61839   94.81250   94.87500   2.128   1.28178
10/15/2027  1.625  91282CFR7  296.22858   98.37500   98.40625   2.124   1.05847

01/15/2028  1.750  912810PV4  209.49645   98.31250   98.37500   2.232   1.49667
01/15/2028  0.500  9128283R9  246.66571   94.15625   94.18750   2.216   1.27115
04/15/2028  3.625  912810FD5  161.74000  105.09375  105.15625   2.199   1.93859
04/15/2028  1.250  91282CGW5  299.94933   96.62500   96.65625   2.172   1.04534
07/15/2028  0.750  912828Y38  251.01658   95.03125   95.09375   2.023   1.24911
10/15/2028  2.375  91282CJH5  306.29390  101.31250  101.37500   2.041   1.02368

01/15/2029  2.500  912810PZ5  214.69971  101.75000  101.81250   2.076   1.46040
01/15/2029  0.875  9128285W6  252.50248   94.78125   94.81250   2.075   1.24176
04/15/2029  3.875  912810FH6  164.39333  108.03125  108.09375   2.088   1.90730
04/15/2029  2.125  91282CKL4  309.30787  100.15625  100.25000   2.073   1.01371
07/15/2029  0.250  9128287D6  255.79368   91.84375   91.93750   1.940   1.22578

01/15/2030  0.125  912828Z37  257.28368   90.09375   90.15625   2.010   1.21869
07/15/2030  0.125  912828ZZ6  256.39126   89.50000   89.56250   1.964   1.22293

01/15/2031  0.125  91282CBF7  260.31619   88.40625   88.46875   2.014   1.20449
07/15/2031  0.125  91282CCM1  268.02090   87.87500   87.93750   1.966   1.16986

01/15/2032  0.125  91282CDX6  277.20274   86.71875   86.81250   2.020   1.13111
04/15/2032  3.375  912810FQ6  177.50000  109.25000  109.34375   2.069   1.76647
07/15/2032  0.625  91282CEZ0  290.54829   89.84375   89.93750   1.985   1.07916

01/15/2033  1.125  91282CGK1  297.87606   92.62500   92.71875   2.057   1.05261
07/15/2033  1.375  91282CHP9  303.70803   94.53125   94.65625   2.025   1.03240

01/15/2034  1.750  91282CJY8  307.39100   97.25000   97.37500   2.054   1.02003

02/15/2040  2.125  912810QF8  216.13950   99.43750   99.62500   2.154   1.45067
02/15/2041  2.125  912810QP6  218.99100   99.59375   99.78125   2.141   1.43178
02/15/2042  0.750  912810QV3  225.96062   78.53125   78.71875   2.216   1.38762
02/15/2043  0.625  912810RA8  229.91100   75.50000   75.68750   2.227   1.36378
02/15/2044  1.375  912810RF7  233.05900   86.15625   86.37500   2.237   1.34536

02/15/2045  0.750  912810RL4  235.48150   75.34375   75.53125   2.237   1.33152
02/15/2046  1.000  912810RR1  236.94448   78.50000   78.68750   2.249   1.32330
02/15/2047  0.875  912810RW0  241.39250   75.56250   75.78125   2.247   1.29891
02/15/2048  1.000  912810SB5  246.59650   77.06250   77.28125   2.245   1.27150
02/15/2049  1.000  912810SG4  251.63550   76.43750   76.68750   2.236   1.24604

02/15/2050  0.250  912810SM1  257.09503   61.50000   61.71875   2.216   1.21958
02/15/2051  0.125  912810SV1  260.35150   58.31250   58.53125   2.189   1.20433
02/15/2052  0.125  912810TE8  278.37500   57.25000   57.50000   2.183   1.12635
02/15/2053  1.500  912810TP3  297.25400   84.62500   84.87500   2.216   1.05482
02/15/2054  2.125  912810TY4  306.90376   97.90625   98.21875   2.208   1.02165
  2. I don't compare against the 0-5 index because it is distorted by the volatile yields of TIPS maturing within the next year. Therefore I would use the 1-5 index as a predictor of performance even of funds (like iShares STIP or Vanguard VTIP) that hold all TIPS maturing in 0 to 5 years.
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Re: Consistent Yield & Duration to Help Choose TIPS Fund

Post by #Cruncher »

  • Edited 10/11 3:45 PM. Last week yields fell slightly for shorter term issues but barely budged for long term ones. The average yield of the 1+ index slipped 0.05% points to 1.71%.
  • Edited 10/04 3:40 PM. Yields of TIPS maturing in more than a year rose as much as 0.17% points (the 1-1/4% April 2028) since Monday. The average yield of the 1+ index climbed 0.12% points to 1.76%.

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 0 - 5    1 - 5   1 - 10      1+      15+    <-- index
 -----    -----   ------    -----    -----
 1.93%    1.66%    1.65%    1.71%    2.02%   10/11/2024 Friday
 2.08%    1.78%    1.76%    1.81%    2.04%   10/09/2024 Wednesday
 2.05%    1.75%    1.73%    1.79%    2.03%   10/08/2024 Tuesday
 2.08%    1.78%    1.75%    1.80%    2.02%   10/07/2024 Monday

 2.05%    1.73%    1.71%    1.76%    2.00%   10/04/2024 Friday
 1.90%    1.57%    1.56%    1.62%    1.93%   10/03/2024 Thursday
 1.90%    1.53%    1.51%    1.57%    1.87%   10/02/2024 Wednesday
 1.91%    1.52%    1.50%    1.56%    1.85%   10/01/2024 Tuesday
 1.98%    1.60%    1.58%    1.64%    1.91%   09/30/2024 Monday
end of edit

I've updated the Yield to Maturity and Duration Calculator with WSJ TIPS Prices 09/30/2024 [1] and the weighting effect of the 10-year auctions in July & September and the 30-year auction in August. As shown in the table below, the weighted average yield of the bonds in the 1+ years broad index (1.64%) is 0.04% points higher than the yield on the 1-5 year short term index (1.60%) [2] and 0.06% points higher than the 1-10 year index (1.58%).

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  #     Real       Avg  - Real Duration -   - Fall if Rates Rise -
TIPS     YTM      Life  Macaulay Modified     1%       2%       3%       Index
  27    1.98%     2.52     2.46    2.44%    2.40%    4.71%    6.93%   0 - 5 Years (excludes TIPS maturing 10/15/2024)
  22    1.60%     2.97     2.89    2.87%    2.81%    5.52%    8.13%   1 - 5 Years
  33    1.58%     4.57     4.43    4.39%    4.26%    8.26%   12.02%   1 - 10 Years
  48    1.64%     7.69     7.11    7.05%    6.60%   12.39%   17.51%   1+ Years
  15    1.91%    21.39    18.94   18.76%   16.88%   30.54%   41.63%   15+ Years
Here is a table showing the trend of yields since October 2012. Compared to three months ago short term yields have fallen significantly while long term yields are down moderately. (Since it matures in just two weeks, the 10/15/2024 maturity is omitted from the 0-5 index for 9/30/2024.)

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  0-5         1-5        1-10          1+         15+

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 1.98%       1.60%       1.58%       1.60%       1.91%    09/30/2024
 2.57%       2.33%       2.22%       2.22%       2.21%    06/28/2024
 1.92%       2.03%       1.96%       1.98%       2.09%    03/28/2024

 2.38%       2.18%       2.00%       1.99%       1.95%    12/29/2023
 2.81%       2.70%       2.54%       2.51%       2.37%    09/29/2023
 2.54%       2.42%       2.16%       2.07%       1.68%    06/30/2023
 1.64%       1.60%       1.46%       1.48%       1.55%    04/28/2023
 1.80%       1.75%       1.57%       1.56%       1.51%    01/31/2023

 2.21%       2.02%       1.91%       1.91%       1.91%    09/30/2022
(0.33%)     (0.06%)      0.23%       0.38%       1.11%    06/30/2022
(2.25%)     (1.69%)     (1.27%)     (1.01%)     (0.04%)   03/31/2022

(2.48%)     (2.19%)     (1.80%)     (1.52%)     (0.48%)   12/31/2021
(2.15%)     (2.05%)     (1.66%)     (1.36%)     (0.25%)   09/30/2021
(2.40%)     (2.23%)     (1.77%)     (1.47%)     (0.28%)   06/30/2021
(2.37%)     (2.19%)     (1.68%)     (1.35%)      0.02%    03/31/2021

(1.81%)     (1.73%)     (1.54%)     (1.32%)     (0.45%)   12/31/2020
(1.20%)     (1.26%)     (1.19%)     (1.03%)     (0.39%)   09/30/2020
(0.79%)     (0.89%)     (0.84%)     (0.71%)     (0.16%)   06/30/2020
 0.10%      (0.34%)     (0.42%)     (0.35%)     (0.07%)   05/29/2020
 0.65%       0.04%      (0.17%)     (0.17%)     (0.14%)   04/30/2020
 0.69%       0.54%       0.26%       0.24%       0.15%    03/31/2020
 
 0.13%       0.07%       0.09%       0.17%       0.54%    12/31/2019
 0.59%       0.42%       0.30%       0.34%       0.53%    09/30/2019
 0.47%       0.35%       0.30%       0.37%       0.75%    06/28/2019
 0.00%       0.37%       0.42%       0.50%       0.89%    03/29/2019

 1.74%       1.22%       1.09%       1.11%       1.20%    12/31/2018
 0.87%       0.83%       0.87%       0.90%       1.04%    09/28/2018
 0.46%       0.58%       0.63%       0.67%       0.84%    06/29/2018
(0.22%)      0.28%       0.43%       0.52%       0.87%    03/29/2018

 0.12%       0.14%       0.25%       0.35%       0.70%    12/29/2017
(0.14%)     (0.11%)      0.12%       0.28%       0.89%    09/29/2017
 0.06%       0.01%       0.23%       0.38%       0.96%    06/30/2017
(0.84%)     (0.47%)     (0.08%)      0.12%       0.89%    03/31/2017

(0.33%)     (0.37%)      0.01%       0.22%       0.97%    12/30/2016
(0.59%)     (0.55%)     (0.30%)     (0.10%)      0.59%    09/30/2016
(0.91%)     (0.67%)     (0.33%)     (0.11%)      0.68%    06/30/2016
(0.96%)     (0.69%)     (0.31%)     (0.07%)      0.83%    03/31/2016
 0.06%      (0.08%)      0.18%       0.37%       1.11%    01/29/2016

 0.22%       0.18%       0.43%       0.61%       1.25%    12/31/2015
 0.33%       0.15%       0.38%       0.55%       1.18%    11/20/2015
 0.30%       0.04%       0.27%       0.45%       1.15%    10/23/2015
 0.42%       0.15%       0.34%       0.50%       1.07%    08/28/2015
(0.08%)     (0.13%)      0.17%       0.35%       1.02%    07/24/2015
(0.78%)     (0.54%)     (0.12%)      0.14%       1.02%    06/19/2015
(0.74%)     (0.60%)     (0.26%)     (0.05%)      0.58%    03/20/2015
 0.16%      (0.24%)     (0.05%)      0.10%       0.60%    01/23/2015

 0.62%       0.13%       0.28%       0.41%       0.81%    12/19/2014
(0.26%)     (0.48%)     (0.10%)      0.17%       0.94%    10/24/2014
(0.30%)     (0.36%)      0.05%       0.31%       1.08%    09/19/2014
(0.92%)     (0.88%)                 (0.10%)      0.83%    07/25/2014
(1.34%)     (1.11%)                 (0.10%)      1.04%    06/20/2014
(1.34%)     (1.13%)                 (0.14%)      1.01%    05/23/2014
(1.36%)     (1.04%)                 (0.03%)      1.07%    04/25/2014
(1.31%)     (0.96%)                  0.09%       1.19%    03/21/2014
(1.47%)     (1.17%)                  0.00%       1.27%    02/21/2014
(1.15%)     (1.01%)                  0.04%       1.19%    01/24/2014

(0.65%)     (0.87%)                  0.18%       1.34%    12/20/2013
(0.75%      (1.00%)                  0.04%       1.27%    11/22/2013
(0.88%)     (1.00%)                 (0.07%)      1.06%    10/25/2013
(0.87%)     (0.91%)                  0.06%       1.19%    09/20/2013
(0.79%)     (0.74%)                  0.21%       1.24%    08/30/2013
(1.16%)     (1.12%)                 (0.12%)      1.02%    07/19/2013
(0.56%)     (0.62%)                  0.21%       1.23%    06/21/2013
(1.18%)     (1.33%)                 (0.62%)      0.44%    05/17/2013
(1.47%)     (1.59%)                 (0.93%)      0.09%    04/26/2013
(2.14%)     (1.89%)                 (0.92%)      0.26%    02/15/2013

(1.29%)     (1.43%)                 (0.87%)     (0.01%)   12/21/2012
(1.28%)     (1.33%)                 (0.78%)      0.06%    10/26/2012
  1. This link shows the latest TIPS quotes from the Wall Street Journal web site. After the close of the next trading day, it will no longer point to the ask prices upon which the spreadsheet and this post are based. Unfortunately the WSJ has stopped providing links to TIPS quotes for particular dates. Therefore, for reference, I'm here listing the quotes from the 9/30/2024 WSJ web page. (However, I have found an alternate historical source: FedInvest Historical Prices.)

    Code: Select all

      Matures  Coupon    CUSIP     Base CPI  Bid Price  Ask Price   Yield    Index

    Code: Select all

    10/15/2024  0.125  912828YL8  256.56513   99.84375   99.84375   3.967   1.22597

01/15/2025  2.375  912810FR4  188.49677   99.34375   99.34375   4.660   1.66868
01/15/2025  0.250  912828H45  236.85403   98.78125   98.78125   4.552   1.32799
04/15/2025  0.125  912828ZJ2  258.30093   98.21875   98.21875   3.484   1.21773
07/15/2025  0.375  912828XL9  237.14365   98.56250   98.56250   2.218   1.32637
10/15/2025  0.125  91282CAQ4  259.46997   98.06250   98.09375   1.999   1.21224

01/15/2026  2.000  912810FS2  198.47742   99.78125   99.81250   2.156   1.58476
01/15/2026  0.625  912828N71  237.61129   98.06250   98.09375   2.137   1.32376
04/15/2026  0.125  91282CCA7  262.25027   97.15625   97.15625   2.002   1.19939
07/15/2026  0.125  912828S50  239.70132   97.46875   97.50000   1.554   1.31222
10/15/2026  0.125  91282CDC2  273.25771   97.21875   97.25000   1.504   1.15107

01/15/2027  2.375  912810PS1  201.66452  101.59375  101.62500   1.647   1.55972
01/15/2027  0.375  912828V49  241.55919   97.15625   97.18750   1.639   1.30212
04/15/2027  0.125  91282CEJ6  282.34640   96.21875   96.25000   1.635   1.11402
07/15/2027  0.375  9128282L3  244.61839   97.09375   97.15625   1.423   1.28584
10/15/2027  1.625  91282CFR7  296.22858  100.56250  100.59375   1.422   1.06182

01/15/2028  1.750  912810PV4  209.49645  100.68750  100.75000   1.520   1.50141
01/15/2028  0.500  9128283R9  246.66571   96.78125   96.81250   1.496   1.27517
04/15/2028  3.625  912810FD5  161.74000  107.09375  107.15625   1.541   1.94473
04/15/2028  1.250  91282CGW5  299.94933   99.00000   99.06250   1.525   1.04864
07/15/2028  0.750  912828Y38  251.01658   97.71875   97.78125   1.354   1.25306
10/15/2028  2.375  91282CJH5  306.29390  103.78125  103.84375   1.393   1.02692

01/15/2029  2.500  912810PZ5  214.69971  104.21875  104.28125   1.467   1.46502
01/15/2029  0.875  9128285W6  252.50248   97.53125   97.59375   1.454   1.24569
04/15/2029  3.875  912810FH6  164.39333  110.18750  110.25000   1.527   1.91334
04/15/2029  2.125  91282CKL4  309.30787  102.68750  102.75000   1.497   1.01692
07/15/2029  0.250  9128287D6  255.79368   94.78125   94.84375   1.364   1.22966

01/15/2030  0.125  912828Z37  257.28368   93.12500   93.21875   1.465   1.22254
07/15/2030  0.125  912828ZZ6  256.39126   92.81250   92.87500   1.410   1.22680

01/15/2031  0.125  91282CBF7  260.31619   91.75000   91.84375   1.488   1.20830
07/15/2031  0.125  91282CCM1  268.02090   91.37500   91.43750   1.452   1.17357

01/15/2032  0.125  91282CDX6  277.20274   90.25000   90.34375   1.533   1.13469
04/15/2032  3.375  912810FQ6  177.50000  112.78125  112.87500   1.557   1.77206
07/15/2032  0.625  91282CEZ0  290.54829   93.40625   93.50000   1.512   1.08257

01/15/2033  1.125  91282CGK1  297.87606   96.25000   96.34375   1.597   1.05594
07/15/2033  1.375  91282CHP9  303.70803   98.34375   98.46875   1.563   1.03567

01/15/2034  1.750  91282CJY8  307.39100  100.87500  101.00000   1.632   1.02326
07/15/2034  1.875  91282CLE9  313.78329  102.12500  102.25000   1.624   1.00241

02/15/2040  2.125  912810QF8  216.13950  103.93750  104.12500   1.816   1.45526
02/15/2041  2.125  912810QP6  218.99100  104.28125  104.46875   1.808   1.43631
02/15/2042  0.750  912810QV3  225.96062   83.09375   83.28125   1.883   1.39201
02/15/2043  0.625  912810RA8  229.91100   80.00000   80.18750   1.908   1.36809
02/15/2044  1.375  912810RF7  233.05900   90.84375   91.06250   1.929   1.34962

02/15/2045  0.750  912810RL4  235.48150   79.65625   79.87500   1.952   1.33573
02/15/2046  1.000  912810RR1  236.94448   83.06250   83.28125   1.961   1.32748
02/15/2047  0.875  912810RW0  241.39250   79.96875   80.18750   1.974   1.30302
02/15/2048  1.000  912810SB5  246.59650   81.84375   82.09375   1.958   1.27552
02/15/2049  1.000  912810SG4  251.63550   81.28125   81.50000   1.957   1.24998

02/15/2050  0.250  912810SM1  257.09503   66.00000   66.21875   1.943   1.22344
02/15/2051  0.125  912810SV1  260.35150   62.78125   63.03125   1.918   1.20814
02/15/2052  0.125  912810TE8  278.37500   61.87500   62.09375   1.909   1.12991
02/15/2053  1.500  912810TP3  297.25400   90.03125   90.31250   1.945   1.05815
02/15/2054  2.125  912810TY4  306.90376  103.56250  103.87500   1.951   1.02488
  2. I don't compare against the 0-5 index because it is distorted by the volatile yields of TIPS maturing within the next year. Therefore I would use the 1-5 index as a predictor of performance even of funds (like iShares STIP or Vanguard VTIP) that hold all TIPS maturing in 0 to 5 years.
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