T-bill Compounding formula.

 

SIFMA vs. FTEXX 1-day yields

 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.

May 28th WSJ TIP Rates - Adjusted

 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 :-)

By comparison, here is the Maturity based report of the Same TIPS

VUSXX vs. T-bills - 2 year history.

 

Seasonal Adjustments Averaged over different Periods

 

May 16, 2025 - Full Canty with Full Face weights vs. Full Canty with discounted return only.

 

IL Backtest