Paris Panthéon by Jean-Pierre Lavoie

As part of its research on risk premium based asset allocation, Risk Premium Invest has given particular importance to the study of the US Treasury bond market. This market plays a central role in the valuation of all other assets. This is especially true today in a context of high inflation and tighter monetary policies.

Risk Premium Invest has developed a very original methodology to estimate the Fed’s monetary policy expected by investors and the risk premia they require.

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

See USTreasuries-07122022 for an analysis of the US yield curve in the most recent trading day, in connection with published news.

Past analysis are available on our daily monitoring page.

The main results, also presented in these two graphs, are available in the excel file RiskPremia-UST-V

The expected rates and risk premia (graphs and excel file) are updated every evening after the US markets close. The daily comment is available the following day, generally before the opening of the US markets. If you want to be on our mailing list and receive this analysis as soon as it is published, sometimes with some additional analysis, you can send your email address to contact@riskpremium.com

Dans le cadre de ses recherches consacrées aux primes de risque, Risk Premium Invest a accordé une importance particulière à l’étude du marché des obligations du Trésor américain. Ce marché joue en effet un rôle central dans la valorisation de tous les autres actifs. C’est particulièrement vrai aujourd’hui dans un contexte d’inflation élevée et de durcissement des politiques monétaires.

Risk Premium Invest a développé une méthodologie très originale pour estimer les primes de risque requises par les investisseurs et leurs anticipations concernant la politique monétaire de la banque centrale américaine.

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

Une analyse quotidienne des déformations de la courbe des taux d’intérêt américains est disponible ici.

Les taux anticipés et les primes de risque (graphiques et ficher excel) sont mis à jour quotidiennement après la fermeture des marchés américains. L’analyse quotidienne est disponible le lendemain, généralement avant l’ouverture des marchés américains. Si vous voulez être dans notre mailing liste et recevoir cette analyse dès sa publication, avec parfois quelques compléments d’analyse, vous pouvez envoyer votre adresse mail à contact@riskpremium.com

What Is New ?

  • A very strange Nobel Prize….

    Diamond and Dybvig (1983) is one of the most frequently quoted papers in financial economics. Thus, it may seem natural that forty years later the authors finally receive the “Nobel prize”. Yet this article is an example of financial economics …
  • Our guide to understand (and trade) the US Treasuries yield curve.

    Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours. Les taux anticipés et les primes de risque (graphiques et ficher excel) sont …
  • Trois principes clefs pour un nouveau Pacte de Stabilité et de Croissance.

    Contrairement à de nombreux économistes, nous pensons que le contrôle des déficits excessifs doit rester la pierre angulaire d’un PSC rénové. Mais, des évolutions semblent nécessaires dans trois domaines : la consolidation des dettes publiques, la prise en compte du niveau …
  • How markets price risks? Non-technical presentation.

    Our Yield Curve Model provides some key original insights on how markets price risks. But the reference paper is long and technical! We provide here a non-technical summary of the lessons we have learnt from this analysis of the US Treasuries market. …
  • 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 …

Key Background Papers

  • Our guide to understand (and trade) the US Treasuries yield curve.

    Voir notre guide en français pour une discussion des déterminants des taux d’intérêt sur les obligations longues, et une présentation des indicateurs que nous publions tous les jours. Les taux anticipés et les primes de risque (graphiques et ficher excel) sont …
  • How markets price risks? Non-technical presentation.

    Our Yield Curve Model provides some key original insights on how markets price risks. But the reference paper is long and technical! We provide here a non-technical summary of the lessons we have learnt from this analysis of the US Treasuries market. …
  • 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

    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”, “embedded”). When market …
  • Why Risk Premia Vary?

    1st November 2018 The variation of risk premia is generally considered as a major source of financial markets’ volatility. Indeed, in our yield curve models, we find that broadly 50% of the changes in long-term interest rates are due to …

Latest Market Analysis

  • December 7th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market (at US market close): USTreasuries-07122022 Other markets (at European market close): 2022-12-7 – Daily Market Analysis
  • December 6th, 2022 – Market Analysis

    You will find in the file below our market analysis of the day. Detailed analysis of the US Treasuries market (at US market close): USTreasuries-06122022 Other markets (at European market close): 2022-12-6 – Daily Market Analysis
  • December 5th, 2022 – Market Analysis

    You will find in the file below our market analysis of the  day. Detailed analysis of the US Treasuries market (at US market close): USTreasuries-05122022 Other markets (at European market close): 2022-12-5 – Daily Market Analysis

Weekly risk premia analysis for bonds *

* Weekly split of the US and EU 10 year bonds between risk premium and interest rate expectations / November 28 – December 2, 2022