Paris Panthéon by Jean-Pierre Lavoie

Thanks to our good understanding of the dynamics of risk premia and the key role played by expectations (see  this recently published article and our background papers), we have developed a model for extracting risk premia on government bonds that is much more efficient than existing models. The election of Donald Trump will most likely spark a renewed interest in “term premia” or “buy-and-hold” risk premia, and here you will find the most realistic real-time estimates for US Treasuries (updated each evening at the end of trading around 4:30 p.m. ET).

Our indicators for the January 24, 2025 session are available in USTreasuries-24012025

The main results since the beginning of 2022, also presented in the following two graphs, are available in the excel file RiskPremia-UST-V

We are available to present our original work to financial professionals (practitioners or academics) interested in the evaluation of risk premia. You can contact us at contact@riskpremium.com

Note that due to other priorities, in 2024 we have temporarily stopped publishing detailed daily commentary of how the news of the day have impacted expected Fed funds rates and risk premia. Detailed daily analysis until 2023 are still available on our daily monitoring page.

 

Grâce à notre bonne compréhension de la dynamique des primes de risque (voir nos “background papers”), nous avons développé un modèle d’extraction des primes de risque sur les obligations gouvernementales beaucoup plus efficace que les modèles existants. Tout le monde parle aujourd’hui des “term premium” ou des primes de risque “buy-and-hold”, mais c’est ici que vous trouverez les estimations quotidiennes les plus réalistes pour les bons du Trésor américain!

Ce marché joue un rôle central dans la valorisation de tous les autres actifs.

Nous sommes disponibles pour présenter nos travaux originaux aux professionnels de la finance (praticiens ou académiques) intéressés par l’évaluation des primes de risque. Vous pouvez nous contacter à contact@riskpremium.com

Les taux anticipés et les primes de risque (graphiques et fichier excel) sont mis à jour quotidiennement après la fermeture des marchés américains.

Voir aussi Our Guide to Understand (And Trade) The US Treasuries Yield Curve.

What Is New ?

  • In the Press… How to Spot a Bubble?

    Howard Marks, FT, Wednesday, January 8, 2025: In this article, Howard Marks, co-founder and co-chair of Oaktree Capital Management, argues that “US stocks are frothy, but there seems to be no outlandish bubble.” The methodology used to make this assessment …

  • Asset Pricing as a Flawed Learning Process

    Explaining the fluctuations in asset prices remains a central challenge for asset pricing theory, as most price movements are difficult to directly attribute to fundamental news. Asset prices are determined by the future expected cash flows of assets, discounted using …

  • In The Press… Why Does the Cost of Capital Seem so Rigid?

    Soumaya Keynes, FT, Friday, August 30, 2024: In this clear and well-informed article, Soumaya Keynes discusses a very important and puzzling observation: the rigidity of the hurdle rate used by companies to determine whether or not to invest. This is …

  • Our guide to understand (and trade) the US Treasuries yield curve – updated in July 2024.

    See USTreasuries-Model-Guide for a description of the model we use to extract investors key expectations. In this note, we also try to explain why market participants have faced so many “conundrums” over the last twenty five years. This note was …

  • Some thoughts on the liquidity provided by open-end mutual funds

    Major financial crises all follow the same scenario. There is an initial unexpected shock which weakens part of the financial system. The shock can have many different origins (real estate crisis, bursting of a financial bubble, rise in interest rates, …

Key Background Papers

  • Asset Pricing as a Flawed Learning Process

    Explaining the fluctuations in asset prices remains a central challenge for asset pricing theory, as most price movements are difficult to directly attribute to fundamental news. Asset prices are determined by the future expected cash flows of assets, discounted using …

  • Our guide to understand (and trade) the US Treasuries yield curve – updated in July 2024.

    See USTreasuries-Model-Guide for a description of the model we use to extract investors key expectations. In this note, we also try to explain why market participants have faced so many “conundrums” over the last twenty five years. This note was …

  • Changing risk premia and asset pricing inefficiencies

    Changes in risk premia demanded by investors is one of the main reasons for asset price volatility. But can these evolutions justify the extreme movements that we often observe between clear undervaluation and overvaluation? In this new article, we emphasize …

  • How Markets price risks? Key insights from an analysis of the US Treasuries market.

    When there is a sustained change in required excess returns relative to T-bills, investors often miss structural or quasi-structural changes in risk premia and base their decisions on a biased valuation methodology. We consider this recurring weakness of the fundamentalist …

  • The Four Risk Premia

    15 October 2018  One of the difficulties of risk premia analysis is that the concept of risk premium is somewhat ambiguous. For a given asset class, there are at least four risk premia that can be analyzed (“historical”, “spot”, “valuation”, …

Latest Market Analysis

  • January 24th, 2025 – Market Analysis

    Due to other priorities, in 2024 we have temporarily stopped publishing detailed daily commentary of how the news of the day have impacted markets. But our indicators for US Treasuries (expected Fed funds rates and risk premia) are available here: USTreasuries-24012025

  • January 23rd, 2025 – Market Analysis

    Due to other priorities, in 2024 we have temporarily stopped publishing detailed daily commentary of how the news of the day have impacted markets. But our indicators for US Treasuries (expected Fed funds rates and risk premia) are available here: USTreasuries-23012025

  • January 22nd, 2025 – Market Analysis

    Due to other priorities, in 2024 we have temporarily stopped publishing detailed daily commentary of how the news of the day have impacted markets. But our indicators for US Treasuries (expected Fed funds rates and risk premia) are available here: USTreasuries-22012025

Weekly risk premia analysis for 10-year US Treasuries*

* Contributions of risk premia (RP) and Fed funds rates expectations (re) to daily changes in the US 10-year yield / January 20 – 24, 2025