In our previous post we demonstrated an approach to modeling US Treasury ETF performance in an era of rising interest rates. We showed results like the ones below, simulating the performance of various constant maturity ETFs from the interest rate peak in 1981 to the present (left half of the graph), and in a hypothetical […]
Rising Interest Rates
Modelling Treasury ETF Performance in an Era of Rising Rates
US Treasuries and other interest rate sensitive instruments form the backbone of many asset allocation strategies. Investors are justifiably concerned about a future of rising interest rates and the potential impact on those instruments. In this post we model that impact on constant maturity Treasury assets like the ETF TLT, which tracks long-term (20+ year) […]
TAA Exposure to Rising Interest Rates
Some of the tactical asset allocation strategies that we track have significant exposure to rising interest rates, or more specifically, to the types of assets that are most negatively affected by rising rates. While we don’t (yet) track every published TAA model, the strategies that we do track are broadly representative of the TAA space, so […]