Paris Panthéon by Jean-Pierre Lavoie

Thanks to our good understanding of the dynamics of risk premia (see our background papers), we have developed a model for extracting risk premia on government bonds that is much more efficient than existing models. Everyone is talking about “term premium” or “buy-and-hold” risk premia today, but this is where you will find the most realistic daily estimates for US Treasuries!

This market plays a central role in the valuation of all other assets. This is especially true today in a context of still high inflation and tighter monetary policies.

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

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. But our indicators for the February 20, 2024 session are available in USTreasuries-20022024

Detailed daily analysis until 2023 are still available on our daily monitoring page.

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

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

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. C’est particulièrement vrai aujourd’hui dans un contexte d’inflation élevée et de durcissement des politiques monétaires.

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 ?

  • 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, …
  • In The Press… Why do banks suffer from heavy discounts on the stock markets?

    Patrick Jenkins, FT, Wednesday, December 5, 2023: In this interesting article, Patrick Jenkins wonder why price-to-book ratios are generally rather low in the European banking sector. He argues that under a favourable scenario, “Europe’s banks may one day make it …
  • The Upcoming Revolution in Finance…

    Over a period of 30 years, we have developed our expertise on what determines the risk premia observed in the markets.  For practitioners, this short paper presents in a simple way our conclusions on certain market dysfunctions and why sooner or later …
  • In The Press… What happened in October in the US Treasuries market?

    Mike Dolan, Reuters, Friday, October 20, 2023: Between the end of June and the end of October, the yield on the 10-year US Treasury increased by more than 100 bps to reach levels not seen since the summer of 2007. …
  • 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 …

Key Background Papers

  • The Upcoming Revolution in Finance…

    Over a period of 30 years, we have developed our expertise on what determines the risk premia observed in the markets.  For practitioners, this short paper presents in a simple way our conclusions on certain market dysfunctions and why sooner or later …
  • 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 …
  • Our guide to understand (and trade) the US Treasuries yield curve.

    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 years. See also our guide  …
  • 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

  • February 20th, 2024 – 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-20022024
  • February 16th, 2024 – 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-16022024
  • February 15th, 2024 – 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-15022024

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 / February 12 – 16, 2024