Performance overview - US Treasury Bonds

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Background on the model

Our US treasury model is calibrated on hypothetically calculated US treasury returns that we derive directly from changes in the US yield curve. We estimate a long duration of approximately 18 years, which makes the model more sensitive to duration impact than the yield/carry effect. The model is calibrated by training it on returns going back decades which have been smoothed over the medium term, and also incorporates signals from other asset classes.

Performance YTD

Daily returns YTD



Daily returns over the last 30 days

Date Return
2020-07-030.00%
2020-07-020.12%
2020-07-01-0.28%
2020-06-30-0.66%
2020-06-290.32%
2020-06-260.80%
2020-06-25-0.12%
2020-06-240.74%
2020-06-23-0.20%
2020-06-22-0.15%
2020-06-190.18%
2020-06-180.54%
2020-06-170.18%
2020-06-16-0.72%
2020-06-15-0.12%
2020-06-12-0.62%
2020-06-111.03%
2020-06-101.78%
2020-06-090.90%
2020-06-080.36%
2020-06-05-1.29%