Investing - Theory, News & General • New Tools for Treasuries, TIPS, and Inflation Data

Hi all! I wanted to share some tools I’ve been working on for a while now that I hope will be of value here. For starters, the site is and will always be a free resource – I am a full-time structural engineer by day, and originally started this as a personal tool, which slowly expanded to friends and family, and now hopefully can benefit a wider group.

With real rates on TIPS getting to historically high levels, I’ve noticed a lot of discussions on Treasuries and TIPS on here, and I think some of these tools will be particularly useful in these ongoing discussions. All of the data is calculated and updated automatically, during the day, overnight, weekly, or monthly, as the data becomes available.

• Treasury Rolling Realized Returns and Term Premiums
  This pairs graphs of the SF Fed term premium model data (which is updated almost daily) with a graph of rolling realized returns and realized term premiums of Treasuries of varying constant maturities. Rolling returns can be shown for 1 year, 2 years, 5 years, or 10 years. Useful for understanding when longer duration treasuries might be particularly attractive in context of historical term premiums.

• TIPS Yield Curve
  Yield curve across all TIPS maturities, adjusted for seasonal effects (using the Canty paper method that has been discussed on here by #Cruncher, Kevin M. and others), and corresponding breakeven inflation curve and nominal treasury curve. Also includes individual charts with history of real yield, breakeven inflation, and nominal yield for each maturity.

• TIPS Rolling Realized Returns (Total Return, and Return vs. Treasuries of same maturity)
  Chart with rolling realized returns for TIPS at various constant maturities, along with relative returns vs. Treasuries of the same maturity to compare the two over past periods. Rolling values can be shown for 1 year, 2 years, 5 years, or 10 years.

• Treasury ETF Risk Reward Table
• Corporate / High Yield ETF Risk Reward Table
  Heatmap table that shows potential total returns for Treasury ETFs (or Corporate / High Yield ETFs) of varying durations based on hypothetical changes in interest rates, to quickly compare potential returns in different interest rate scenarios.

• PCE Consumer Spending Dashboard
  Detailed data from the monthly PCE report displayed as a heatmap over the latest 24 months, which can be customized to show changes in terms of real spending, nominal spending, or the total price index. Changes can be displayed for periods of 3, 6, or 12 months, or as Z-scores calculated independently for each line item.

• Inflation Dashboard
  This shows change in consumer prices, hourly wages, producer prices, and commodity prices together in context. The consumer price chart can be set to show the headline or core versions of PCE and CPI inflation, and all charts can display these as 12 month, 6 month, or 3 month annualized change values (or show all three changes simultaneously).

All of the charts, tables, etc have companion info panes (accessed by clicking on the “i” button) that provide background and explanations for the charts, along with methodology and data sources where applicable. You can also click the share icon to save an image of any chart or table.

Any and all feedback would be appreciated, and I hope that some of you find these tools useful!

Statistics: Posted by InvestLikeMike — Sun Jan 05, 2025 1:31 pm — Replies 1 — Views 124

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