US Treasury carry & roll-down — where is an investor best paid to sit?
USD — total expected return (basis points) against tenor (years), for a 1M holding horizon (1 month), computed under a static-curve assumption. Source: US Department of the Treasury (bootstrapped). Sweet spot marked.
| Horizon | Tenor | Total | Carry | Rolldown | Bucket | Pct (10y)Pro |
|---|---|---|---|---|---|---|
| 1M | 20.0y | 58.4 bps | 44.8 | 13.6 | 15-20y | Locked |
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| # | Tenor | Total | Carry | Rolldown |
|---|---|---|---|---|
| 1 | 20.0y | 58.4 | 44.8 | 13.6 |
| 2 | 19.5y | 57.4 | 44.4 | 13.0 |
| 3 | 19.0y | 56.5 | 44.1 | 12.4 |
| 4 | 18.5y | 55.6 | 43.8 | 11.9 |
| 5 | 18.0y | 54.8 | 43.4 | 11.3 |