10-Year Bond
Yield 1.69%
Full History Pctl 98.2%Extremely Expensive
1-Year Pctl 94.0%Extremely Expensive
30-Year Bond
Yield 2.14%
Full History Pctl 96.4%Extremely Expensive
1-Year Pctl 92.4%Extremely Expensive
Key Spread
10Y-2Y Spread 0.43%
1-Year Value Pctl 26.1%Low (Flat)
📈 Multi-Window Valuation Percentile Table
💡 How to read: Yield indicators use price percentile (higher = expensive), spread indicators use value percentile (higher = steeper curve). Zones: >90% Extremely Expensive, 70-90% Overvalued, 30-70% Fair, 10-30% Undervalued, <10% Extremely Cheap. Spread percentile higher means steeper, lower means flatter/inverted.
| Indicator | Latest | 1-Year | 3-Year | 5-Year | 10-Year | Full History | Valuation |
|---|---|---|---|---|---|---|---|
| 1Y | 1.23% | 55.0% | 81.4% | 88.9% | 93.6% | 95.0% | Extremely Expensive |
| 2Y | 1.25% | 78.1% | 88.6% | 93.1% | 95.5% | 97.2% | Extremely Expensive |
| 3Y | 1.26% | 91.6% | 94.4% | 96.6% | 98.3% | 99.2% | Extremely Expensive |
| 5Y | 1.41% | 90.8% | 95.3% | 97.2% | 98.6% | 99.4% | Extremely Expensive |
| 10Y | 1.69% | 94.0% | 85.3% | 91.2% | 95.6% | 98.2% | Extremely Expensive |
| 30Y | 2.14% | 92.4% | 72.5% | 83.5% | 91.8% | 96.4% | Extremely Expensive |
| 10Y-2Y Spread | 0.43% | 26.1% | 50.9% | 40.8% | 42.9% | 25.5% | Low (Flat) |
| 30Y-10Y Spread | 0.45% | 41.8% | 80.6% | 68.7% | 44.4% | 38.7% | Moderate |
| 5Y-2Y Spread | 0.16% | 18.5% | 29.7% | 17.8% | 13.5% | 11.6% | Low (Flat) |
🧠 Summary & Tactical Reference
10-Year: Full History Percentile 98.2% (Extremely Expensive), 1-Year 94.0% (Extremely Expensive). 30-Year: Full History 96.4% (Extremely Expensive), 1-Year 92.4% (Extremely Expensive).
Spread: 10Y-2Y 1-year value percentile 26.1%, Spread low (curve flat), growth concerns.
Multi-Period Change Comparison
| Period | 10Y Yield | 10Y Pctl | 10Y-2Y Spread |
|---|---|---|---|
| Week | 1.68→1.69% (+1bp) | 98.5%→98.2% (-0.3%) | 0.44→0.43% (-1bp) |
| Month | 1.69→1.69% (-0bp) | 98.4%→98.2% (-0.2%) | 0.46→0.43% (-3bp) |
| Quarter | 1.73→1.69% (-4bp) | 97.6%→98.2% (+0.6%) | 0.49→0.43% (-5bp) |
| Half Year | 1.83→1.69% (-14bp) | 96.3%→98.2% (+1.9%) | 0.51→0.43% (-8bp) |
| Year | 1.83→1.69% (-15bp) | 97.0%→98.2% (+1.2%) | 0.40→0.43% (+3bp) |
📅 Valuation Regime Historical Duration Statistics
| Regime | Count | Avg (days) | Min | Max | Median |
|---|---|---|---|---|---|
| Extremely Expensive | 42 | 38 | 1 | 852 | 2 |
| Overvalued | 102 | 9 | 1 | 81 | 2 |
| Fair | 130 | 18 | 1 | 464 | 2 |
| Undervalued | 76 | 12 | 1 | 222 | 1 |
| Extremely Cheap | 43 | 10 | 1 | 91 | 2 |
📅 Percentile Band Duration Statistics (10% bins)
| Band | Count | Avg (days) | Min | Max | Median |
|---|---|---|---|---|---|
| 0-10% | 43 | 10 | 1 | 91 | 2 |
| 10-20% | 45 | 9 | 1 | 94 | 1 |
| 20-30% | 62 | 8 | 1 | 84 | 2 |
| 30-40% | 85 | 6 | 1 | 46 | 2 |
| 40-50% | 97 | 7 | 1 | 68 | 3 |
| 50-60% | 119 | 5 | 1 | 50 | 2 |
| 60-70% | 125 | 5 | 1 | 46 | 2 |
| 70-80% | 93 | 5 | 1 | 38 | 2 |
| 80-90% | 69 | 6 | 1 | 64 | 2 |
| 90-100% (current) | 42 | 38 | 1 | 852 | 2 |
📈 Forward Return Statistics (Historical, Not Predictive)
| Valuation Zone | Samples | 1M Avg | 1M Win Rate | 3M Avg | 3M Win Rate | 6M Avg | 6M Win Rate | 12M Avg | 12M Win Rate |
|---|---|---|---|---|---|---|---|---|---|
| Extremely Cheap | 414 | -0.15% | 50% | -0.45% | 45% | 0.17% | 53% | 4.32% | 70% |
| Undervalued | 892 | 0.31% | 61% | 1.53% | 64% | 3.12% | 78% | 5.01% | 82% |
| Fair | 2392 | 0.04% | 53% | -0.10% | 52% | -0.40% | 57% | -1.06% | 48% |
| Overvalued | 896 | -0.06% | 50% | -0.10% | 42% | -0.51% | 57% | -1.19% | 55% |
| Extremely Expensive | 1577 | 0.02% | 54% | -0.07% | 57% | -0.18% | 57% | -0.17% | 50% |
📊 Strategy Backtests (Actual ETF NAVs, 4bp cost, no leverage)
5-Year CGB ETF
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 2.67% | 1.09 | -4.96% | 100.0% | 40.82% | Always fully invested |
| Simple Linear (10Y full) | 0.73% | 0.66 | -3.64% | 27.1% | 9.85% | Position = 1 - full history price percentile |
| Extreme Reversal [30Y-10Y spread] | 6.19% | 3.67 | -1.16% | 62.2% | 122.75% | Spread pctl <0.05 long, >0.95 flat, else 10MA |
| H+Trend [1Y full] | 4.33% | 3.21 | -0.73% | 40.1% | 75.09% | Long above 10MA, position from 1Y pctl valuation H |
10-Year CGB ETF
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 3.62% | 1.33 | -4.62% | 100.0% | 36.73% | Always fully invested |
| Simple Linear (10Y full) | 0.54% | 0.55 | -2.49% | 17.5% | 4.80% | Position = 1 - full history price percentile |
| Extreme Reversal [2Y full] | 6.75% | 3.87 | -0.77% | 50.7% | 80.00% | 2Y pctl <0.05 long, >0.95 flat, else 10MA |
| Extreme Reversal [30Y-10Y spread] | 8.15% | 4.41 | -0.77% | 63.4% | 103.46% | Spread pctl <0.05 long, >0.95 flat, else 10MA |
30-Year CGB ETF
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 5.45% | 0.81 | -11.44% | 100.0% | 17.87% | Always fully invested |
| Simple Linear (10Y full) | 0.05% | 0.36 | -0.30% | 1.7% | 0.15% | Position = 1 - full history price percentile |
| Extreme Reversal [30Y-10Y spread] | 20.01% | 4.57 | -1.48% | 60.2% | 87.10% | Spread pctl <0.05 long, >0.95 flat, else 10MA |
| H+Trend [10Y-2Y spread] | 19.60% | 4.54 | -1.47% | 59.3% | 84.73% | Long above 10MA, position from spread pctl valuation H |
💡 30-year backtest period is short (2023-2026); extreme returns are not indicative of the future. All strategies no leverage, incl. 1bp fee and slippage each side. Valuation position factor constrained 0–1.
📎 YTD 10Y pctl high 98.5% low 95.5%; 10Y yield one year ago 1.83% (YoY -15bp)
Tactical Reference: Long-term allocators wait for pctl to retreat to 30%-70%; short-term players monitor 30Y 1-year pctl Extremely Expensive; shorten duration, watch for rising yields.