10-Year
Yield 4.94%
Full History Pctl 33.0%Fair
1-Year Pctl 2.0%Extremely Cheap
30-Year
Yield 5.29%
Full History Pctl 35.6%Fair
1-Year Pctl 2.4%Extremely Cheap
Key Spread
10Y-2Y 0.27%
1-Year Pctl 1.6%Extremely Low (Inversion)
📈 Multi-Window Valuation Percentile Table (since 1990)
| Indicator | Latest Yield (%) | 1-Year Price Pctl | 3-Year Price Pctl |
5-Year Price Pctl | 10-Year Price Pctl | Full History Pctl | Valuation (Full History) |
|---|---|---|---|---|---|---|---|
| * Yield indicators use price percentile (higher = expensive); spread indicators use value percentile (higher = steeper curve). | |||||||
| 1Y | 4.40% | 0.4% | 31.0% | 36.7% | 18.3% | 33.8% | Fair |
| 2Y | 4.67% | 0.6% | 16.9% | 16.2% | 8.1% | 30.6% | Fair |
| 3Y | 4.75% | 0.8% | 6.9% | 4.2% | 2.1% | 28.7% | Undervalued |
| 5Y | 4.78% | 1.4% | 1.9% | 1.2% | 0.6% | 31.5% | Fair |
| 10Y | 4.94% | 2.0% | 0.9% | 0.6% | 0.3% | 33.0% | Fair |
| 20Y | 5.32% | 2.0% | 0.7% | 0.4% | 0.2% | 27.8% | Undervalued |
| 30Y | 5.29% | 2.4% | 0.8% | 0.5% | 0.2% | 35.6% | Fair |
| Spread Indicator | Latest Spread (%) | 1-Year Value Pctl | 3-Year Value Pctl |
5-Year Value Pctl | 10-Year Value Pctl |
Full History Pctl | Spread Status (1-Year) |
| 10Y-2Y Spread | 0.27% | 1.6% | 45.5% | 56.6% | 42.5% | 26.7% | Extremely Low (Inversion) |
| 30Y-10Y Spread | 0.35% | 0.8% | 50.9% | 63.8% | 43.0% | 41.6% | Extremely Low (Inversion) |
| 5Y-2Y Spread | 0.11% | 15.9% | 64.7% | 63.3% | 46.1% | 26.5% | Low (Flat) |
📊 Multi-Period Change Comparison
| Period | 10Y Yield Change | 10Y Price Pctl Change | 10Y-2Y Spread Change |
|---|---|---|---|
| Week | 4.95→4.94% (-1bp) | 32.9%→33.0% (+0.1%) | 0.39→0.27% (-12bp) |
| Month | 4.71→4.94% (+23bp) | 36.3%→33.0% (-3.3%) | 0.52→0.27% (-25bp) |
| Quarter | 4.46→4.94% (+48bp) | 42.2%→33.0% (-9.2%) | 0.27→0.27% (+0bp) |
| Half Year | 4.25→4.94% (+69bp) | 47.4%→33.0% (-14.3%) | 0.46→0.27% (-19bp) |
| Year | 4.06→4.94% (+88bp) | 52.7%→33.0% (-19.7%) | 0.54→0.27% (-27bp) |
🧠 Summary & Tactical Reference
10-Year Treasury: Full history percentile 33.0% (Fair), 1-Year 2.0% (Extremely Cheap).
30-Year Treasury: Full history percentile 35.6% (Fair), 1-Year 2.4% (Extremely Cheap).
10Y-2Y Spread: 1-Year value percentile 1.6%, Spread extremely low (curve flat/inverted). ⚠️ Classic recession warning signal.
📎 Key Levels
• YTD 10Y price percentile high: 55.2% | low: 32.3%
• 10Y yield one year ago: 4.06% (YoY +88bp)
Special reminder: As a global safe-haven asset, Treasury valuations may be distorted during panic episodes. This model is based on data from 1990 to present. Past performance does not guarantee future results.
📅 Historical Valuation Regime Duration Statistics (Based on Full History)
| Valuation Regime | Occurrences | Avg Duration (days) | Min (days) | Max (days) | Median (days) |
|---|---|---|---|---|---|
| Extremely Expensive | 126 | 36 | 1 | 621 | 4 |
| Overvalued | 168 | 15 | 1 | 430 | 3 |
| Fair | 55 | 37 | 1 | 1029 | 3 |
| Undervalued | 26 | 3 | 1 | 11 | 2 |
| Extremely Cheap | 15 | 4 | 1 | 15 | 3 |
Current percentile band: 30-40%, lasted 43 days
📅 Percentile Band Duration Statistics (10% buckets)
| Bucket | Occurrences | Avg Duration (days) | Min (days) | Max (days) | Median (days) |
|---|---|---|---|---|---|
| 0-10% | 15 | 4 | 1 | 15 | 3 |
| 10-20% | 20 | 2 | 1 | 8 | 1 |
| 20-30% | 16 | 2 | 1 | 4 | 2 |
| 30-40% | 35 | 6 | 1 | 46 | 1 |
| 40-50% | 73 | 8 | 1 | 102 | 2 |
| 50-60% | 84 | 8 | 1 | 57 | 4 |
| 60-70% | 80 | 7 | 1 | 71 | 2 |
| 70-80% | 101 | 10 | 1 | 240 | 3 |
| 80-90% | 187 | 8 | 1 | 204 | 2 |
| 90-100% | 126 | 36 | 1 | 621 | 4 |
💡 Interpretation: Historical duration statistics for each valuation regime and percentile bucket. Past patterns do not guarantee future results.
📈 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 | 62 | 0.27% | 50% | 1.13% | 63% | 1.30% | 47% | 5.79% | 90% |
| Undervalued | 74 | 0.29% | 55% | 2.30% | 76% | 3.69% | 72% | 7.24% | 99% |
| Fair | 2038 | 0.08% | 52% | 0.36% | 52% | 1.08% | 58% | 2.56% | 63% |
| Overvalued | 2462 | 0.16% | 57% | 0.66% | 58% | 1.30% | 65% | 2.67% | 65% |
| Extremely Expensive | 4545 | 0.00% | 50% | -0.13% | 47% | -0.30% | 48% | -0.78% | 51% |
⚠️ Return calculated as approximate duration (-8 × yield change). Small sample size in extreme zones may distort averages.
Tactical Reference:
• Long-term allocators: Current status Fair, not suitable for heavy positions. Wait for price percentile to drop into the 30%-70% fair range.
• Short-term traders: 30Y 1-year percentile Extremely Cheap, consider light positions with tight stops.
• Bond fund investors: Prefer short-duration funds; QDII bond funds should additionally monitor currency risk.
📊 Strategy Backtests (5 Selected Strategies, No Leverage, 4 bps Cost)
⚠️ Important: The following backtest results are ex-post validations based on historical data and do not represent real-time trading signals. Because free public data for U.S. Treasury ETFs is difficult to obtain, the backtest parameters were pre-computed and are not updated daily. When ETF prices or dividend files change significantly, the backtest must be re-run manually to update the results. Past performance does not guarantee future results.
SHY
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rebalance Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 1.57% | -0.28 | -5.71% | 100.0% | 18.42% | Always fully invested |
| Simple Linear (1Y 10Y) | 1.33% | -0.50 | -4.58% | 72.5% | 15.44% | Position = 1 - 1Y price percentile (10Y window) |
| Pure Return Optimal (H+Vol) | 1.61% | -0.29 | -3.88% | 83.2% | 18.93% | Dual-factor valuation H, vol >2.0x mean halves position |
| Comprehensive Optimal (H+MA150) | 0.62% | -1.36 | -2.57% | 38.1% | 6.90% | 2Y valuation H, only long when price above 150-day MA |
| Extreme Reversal+H (1Y 5Y) | 0.73% | -0.98 | -2.45% | 63.1% | 8.17% | 1Y pctl <0.05 full long, >0.95 flat, else valuation H * 20-day MA |
IEF
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rebalance Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 1.14% | -0.10 | -23.92% | 100.0% | 13.13% | Always fully invested |
| Simple Linear (2Y 10Y) | 1.18% | -0.13 | -17.84% | 70.8% | 13.58% | Position = 1 - 2Y price percentile (10Y window) |
| Pure Return Optimal (H+Vol) | 1.89% | 0.01 | -17.91% | 87.8% | 22.56% | Dual-factor valuation H, vol >1.5x mean halves position |
| Comprehensive Optimal (H+MA90) | 1.62% | -0.08 | -7.36% | 39.9% | 19.04% | 2Y valuation H, only long when price above 90-day MA |
| Extreme Reversal+H (2Y 10Y) | 0.06% | -0.34 | -13.96% | 56.4% | 0.62% | 2Y pctl <0.05 full long, >0.95 flat, else valuation H * 20-day MA |
TLT
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rebalance Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 2.40% | 0.10 | -44.69% | 100.0% | 36.18% | Always fully invested |
| Simple Linear (3Y 5Y) | 2.82% | 0.13 | -33.66% | 67.5% | 43.72% | Position = 1 - 3Y price percentile (5Y window) |
| Pure Return Optimal (H+Vol) | 4.21% | 0.23 | -39.18% | 89.6% | 71.13% | Dual-factor valuation H, vol >1.5x mean halves position |
| Comprehensive Optimal (H+MA30) | 1.89% | 0.02 | -17.71% | 32.0% | 27.58% | 3Y valuation H, only long when price above 30-day MA |
| Extreme Reversal+H (2Y 5Y) | 1.49% | 0.00 | -32.65% | 58.4% | 21.18% | 2Y pctl <0.05 full long, >0.95 flat, else valuation H * 20-day MA |
EDV
| Strategy | Ann. Return | Sharpe | Max DD | Avg Pos | Cum. Return | Rebalance Rule |
|---|---|---|---|---|---|---|
| Buy and Hold | 2.62% | 0.14 | -59.84% | 100.0% | 61.07% | Always fully invested |
| Simple Linear (2Y 1Y) | 3.09% | 0.15 | -51.52% | 52.3% | 75.17% | Position = 1 - 2Y price percentile (1Y window) |
| Pure Return Optimal (H) | 5.05% | 0.27 | -53.09% | 63.8% | 147.68% | 2Y valuation H, scale 0.8 |
| Comprehensive Optimal (H+MA30) | 1.78% | 0.02 | -22.28% | 28.7% | 38.31% | 3Y valuation H, only long when price above 30-day MA |
| Extreme Reversal+H (2Y 1Y) | -0.30% | -0.12 | -54.96% | 43.6% | -5.47% | 2Y pctl <0.05 full long, >0.95 flat, else valuation H * 20-day MA |
💡 Usage Guide (click to expand)
Price Percentile: Price percentile = 1 - yield percentile. High percentile = expensive, low = cheap.
Valuation Zones: >90% Extremely Expensive, 70-90% Overvalued, 30-70% Fair, 10-30% Undervalued, <10% Extremely Cheap.
Spreads: Value percentile; high = steep curve, low = flat/inverted curve.
Valuation H function: Piecewise position function; lower percentile leads to heavier position, fully long when extremely cheap, minimal position when extremely expensive.
Strategy Backtest: Actual ETF prices + dividend total return, 4bp cost, previous day's signal, position 0~1 no leverage. Historical returns do not guarantee future results.