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 December 5, 2024 session are available in USTreasuries-05122024
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… Why Does the Cost of Capital Seem so Rigid?
Our guide to understand (and trade) the US Treasuries yield curve – updated in July 2024.
Some thoughts on the liquidity provided by open-end mutual funds
In The Press… Why do banks suffer from heavy discounts on the stock markets?
The Upcoming Revolution in Finance…
Key Background Papers
Latest Market Analysis
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 / November 25 – 29, 2024