Interesting look at the SIFMA index in relation to the FTEXX one-day yields. The interesting thing is that the SIFMA index appears to be a lagging indicator, not a leading indicator. It appears that the FTEXX yields adjust before the index updates. The index reflects market movements not leads them.
I used the Full Canty Algorithm (w1/w2 factors) through the Excel pv() function. I also used 15 year average of the CPI SA Factors (2010-2024). To create a YTM (maturity) adjusted yield.
I then calculated the modified duration, using Excel mduration(), I calculated a revised duration maturity date. I used that date for each TIPS and plotted that against May 28th US Treasury Nominal Treasury CMT yield curve.
From there I calculated the BEI (Break Even Inflation) for each TIPS based upon its duration "maturity" date on that CMT curve.
The results definitely appeal to my inner need for smoothness :-)
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