Compare real-world fixed-income fund characteristics with RatesLab Core and Defensive scenario modeling using a consistent capital base, defined horizon and transparent risk assumptions.
External fund outcomes are simplified income + duration MTM illustrations; Core and Defensive are published strategy-model outcomes.
Inspect actual future FOMC events from the Core/Defensive model, then the observed historical Treasury response to realized policy-rate changes. This linkage calibrates ETF and Treasury sensitivities only.
| Tenor | Observed β | R² / fit | 20D residual RMSE | OOS RMSE | Scenario Δ y |
|---|---|---|---|---|---|
| Awaiting official calibration… | |||||
Thirteen discrete official par-yield maturities. Selected policy-linked change plus the separate parallel overlay. This is a sensitivity illustration, not an OIS forward curve.
The historical regression uses matched 20-business-day changes in the observed effective federal funds rate (EFFR) and U.S. Treasury par yields. The alternative PCA model uses daily Treasury yield changes to estimate three covariance factors and projects their 20-observation EFFR sensitivities into a 13-tenor curve. Both are associations, not FOMC surprise models. This does not identify FOMC surprises, SOFR futures-implied expectations, term premia, or causation. Many longer-dated coefficients have extremely weak explanatory fit; low R² is highlighted and the historical 20-day residual RMSE is shown separately (not a predictive confidence interval). Issuer effective duration is used as a maturity proxy for fund-level shocks, not a true key-rate DV01 vector.
Awaiting strategy horizon and current fund snapshots
| Investment product | Yield or modeled annualized return* | Duration | Fees / hurdle terms | Income / collateral | Rate MTM | Spread MTM | Illustrative performance fee | Gross / net period total | Modeled gross drawdown |
|---|---|---|---|---|---|---|---|---|---|
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Allocate the same initial capital across Treasuries, ETFs, Core and Defensive, then trace the combined outcome on the same published Fed-policy calendar. Treasury/fund legs use calibrated duration-based sensitivities; Core/Defensive use their actual published nonlinear strategy scenario paths.
Allocations must sum to 100.00%. Unselected assets carry zero weight. Treasury par benchmarks are non-investable proxies, not executable securities. No rebalancing, leverage or financing is modeled.
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| Portfolio sleeve | Weight | Income | Rate MTM | Spread MTM | Strategy P&L | Perf. fee | Total |
|---|---|---|---|---|---|---|---|
| No valid portfolio yet. | |||||||
| Date | Cumulative Fed Δ | Portfolio P&L | Drawdown |
|---|---|---|---|
| No valid scenario path yet. | |||
Compare Core Income, Defensive Income, U.S. Treasury proxies and fixed-income ETFs across the same published Fed-policy paths. All portfolio results reuse your Phase 3 allocations and validated, matched-horizon calculations.
Matched-period returns, after illustrative Core/Defensive performance fees. Treasury and ETF returns are yield-plus-duration illustrations, not historical total returns.
Uses the existing Phase 3 modeled NAV sequence, with the allocation percentages set above. A sizing budget is not a guaranteed maximum loss.
Select any scenario to update the whole Lab. All returns use the same capital and investment horizon.
Holding-level contributions reconcile collateral/interest, rate and credit MTM, strategy gross P&L and modeled terminal fees.
ETFs may experience credit losses, changes in term premiums, nonparallel curve moves, mortgage convexity and premiums/discounts. Core/Defensive additionally have nonlinear strategy risks. Liquidity, fees and performance evidence must be evaluated separately.
Fund SEC yields, effective durations and fees are sourced from dated issuer materials. Values do not update automatically with the Treasury curve.
Funds: period income proxy = investment × 30-day SEC yield × days / 365; parallel-rate MTM = −investment × issuer-reported duration × rate shock / 10,000; spread MTM is computed only where source-reported spread duration is available. If spread duration is unavailable and a nonzero credit shock is selected, the total is withheld. The 30-day SEC yield already reflects operating expenses, so the expense ratio is displayed but not subtracted again.
Treasury benchmark: sourced from the public US Treasury Tracker; not a tradable CUSIP-specific rate, with estimated modified duration. Core/Defensive: reuse the existing Advisor published scenario bundle calculations, including capital scaling, collateral income and risk-budget sizing. Both Core and Defensive display 0.50 years as an indicative duration assumption, not an empirically estimated DV01 and not an input to their existing scenario engine. Spread MTM is reported as $0 for both strategies in every scenario, without adjusting the existing strategy P&L; this does not imply an absence of spread or other nonlinear risks. Fees: 0% fixed; Core pays 30% and Defensive 20% of positive returns above the UST-6M Treasury par-yield hurdle, calculated over the selected model horizon. The hurdle always uses the published 6M yield, including for 12M strategies (assuming unchanged 6M reinvestment). The fee is shown only as an illustration if the modeled terminal returns were realized; actual fees require realized excess performance and contractual crystallization. Displayed gross drawdowns are before hypothetical fees, the sizing budget is not a guarantee of maximum loss, and other execution/custody costs may apply.
Fair-comparison limitation: issuer SEC yields reflect trailing income windows, while strategy results are forward modeled outcomes. Rate and credit shocks on ETFs are not equivalent to Fed-path scenario outputs for Core/Defensive. The linked policy-to-Treasury shocks are historically estimated rather than uniquely implied by the strategy path. The ETF/Treasury rate MTM reacts to the linked curve while Core/Defensive remain on their published scenario P&L. The gross and net “period total” amounts are therefore a hypothesis comparison, not a historical backtest or investable performance ranking. Fund market prices, fees outside published fund expenses, trading costs, reinvestment, defaults, and strategy execution risk can materially change realized outcomes.
