See how changing interest rates affect bond prices
Rising and falling interest rates can have a significant impact on US Treasuries, which are issued by the US government. Other bond types, such as corporate bonds and mortgage-backed bonds, could be impacted differently due to credit risk (i.e., concerns about the issuer’s ability to make timely bond payments) and other factors. The below analysis depicts bond returns given yields, duration, and spread duration given a range of yield and spread outcomes.
How to use the tool: Enter yield, duration, and spread duration characteristics on the left to view projected 12-month forward returns of a portfolio of bonds with similar characteristics given changes in treasury yields and credit spreads.
- US Treasury Index
- US Aggregate Bond Index
- US High Yield Corporate Index
Hypothetical one-year returns given an index or portfolio with yield of 5%, duration of 6 years, and spread duration of 3.5
| ∆ Treasury Yield (bps, parallel) | ||||||
|---|---|---|---|---|---|---|
| ∆ Credit Spreads (bps) | -100 | -50 | 0 | 50 | 100 | |
| -100 | 11.00 | 8.00 | 5.00 | 2.00 | -1.00 | |
| -50 | 11.00 | 8.00 | 5.00 | 2.00 | -1.00 | |
| 0 | 11.00 | 8.00 | 5.00 | 2.00 | -1.00 | |
| 50 | 11.00 | 8.00 | 5.00 | 2.00 | -1.00 | |
| 100 | 11.00 | 8.00 | 5.00 | 2.00 | -1.00 | |
The above analysis does not guarantee future results. Simulated or hypothetical performance results have certain inherent limitations. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight.
The scenario is a simple analysis which calculates the potential total return based on a portfolio's duration, spread duration and yield
The above analysis does not guarantee future results. Simulated or hypothetical performance results have certain inherent limitations. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. The input is based on the information provided to AllianceBernstein. Under no circumstances does the information contained within represent a recommendation to buy or sell securities. This tool is a general communication and is educational in nature. The output of the tool is for informational purposes only and is not designed to be a recommendation of any specific investment product, strategy, or plan design or for any other purpose. By providing this analysis, none of AllianceBernstein or its employees have the responsibility or authority to provide or provided investment advice in a fiduciary capacity.