I was looking for a historical chart of the 30-year US Treasury yield that adjusted for inflation, as the yields were much higher in the 1970s and 1980s but inflation was quite high as well. The closest I could find was this chart of the inflation-adjusted (real) 10-year US Treasury yield. (Please let me know if you have something better.)

Taken from Bonds Are Frickin’ Expensive, Cliff Asness of AQR takes the nominal 10-year Treasury yield and subtracts the 3-year trailing annualized CPI inflation. I prefer the use of hard numbers over a forecast.

You can see that in the past, the inflation-adjusted yield has varied quite widely. There have been zero and negative real yields, and there have been really high positive real yields. From a historical perspective, right now bonds do not yield very much and the overall curve is rather flat. The article concludes:

So, the bottom line is, as measured by real bond yield, U.S. Treasury bonds are really frickin’ expensive. Measured by the slope of the yield curve they are really frickin’ expensive. But, measured by the average of these two simple variables, they are 60+ year just about record-low frickin’ expensive. This result is not caused by, but is certainly exacerbated by, the (perhaps) surprisingly uncorrelated nature of slope and real bond yield, thus making both so low and at the same time considerably more surprising.

The usual disclaimer against timing bond rates is thrown in there, but it felt only half-hearted.

I have no plans to sell my high-quality bonds because they have historically been a reliable buffer against stock drops:

Still, it would sure be nice if they actually gave me some positive real return…

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Inflation-Adjusted (Real) US Treasury Bond Yield, 1955-2019 from My Money Blog.


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