Duration ratio between the US 30y and the 10y since the 70's?

[Daal]

Anyone has data on that? If there is a chart somewhere of how that relatioship has changed I would appreciate it

 

[Eurokopek]

you can approximate in excel if rough calcs are fine for you with =DURATION(C7, C7+365*30, D7, D7, 2) where c7 = observation date, d7 = 30y yield on the observation date. The ratio will asymptotically decrease as yields go higher. In the below red assumes that 30y yield = 10y yield and blue that 30y = 10y yield + 1.5%

 

[Daal]

you can approximate in excel if rough calcs are fine for you with =DURATION(C7, C7+365*30, D7, D7, 2) where c7 = observation date, d7 = 30y yield on the observation date. The ratio will asymptotically decrease as yields go higher. In the below red assumes that 30y yield = 10y yield and blue that 30y = 10y yield + 1.5%

Have you plugged historical data in to see how that evolved?
I found some data here
https://www.portfoliovisualizer.com/backtest-asset-class-allocation#analysisResults

It didn't had yields but annual returns. Looking at the ratio between long-term treasury % changes and 10y treasury % changes (and removing the negative ratios), I'm getting a 1.75 ratio of long-term treasury to 10y treasury

 

[pyradius]

I show about 0.907 at present, assuming the above formula with daily yield prices.

 

[Eurokopek]

@Daal
attached pic with fred2 data.
@pyradius
yields as decimals. also you haven't changed 30 to 10 for calculation of 10y duration.

 

[Daal]

also you haven't changed 30 to 10 for calculation of 10y duration.

Hi tks for the chart. can you tell what you mean by this? I haven't changed 30 to 10?

 

[Eurokopek]

Hi tks for the chart. can you tell what you mean by this? I haven't changed 30 to 10?

no, nothing, that bit of msg wasn't directed at you.