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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.

^ 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.

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.)

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%).

# 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!

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.)

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.

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%.

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%).

# 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.

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.)

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.

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.)

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%).

# 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.

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.)

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.

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%.

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%).

# 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.)

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.)

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.

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%.

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%).

# 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.)

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.)

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.