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▍ MODEL · STATISTICAL FORECAST · 2026

5-Year Note Primary Dealer Share Forecast 2026

Quantitative analysis from 282 observations of 5-Year Note Primary Dealer Share history, joined to four universal macro regime classifications. Numbers are computed, not narrated.

ByConvex Research Desk·Edited byBen Bleier·
AUCTION-5Y-PRIMARY · LAST
11.25%
AS OF 2026-04-27
Percentile · 25Y History
28.7th

Performance by Window[02]

WINDOWNANN RETANN VOLRET/VOLHIT %TOTAL
1Y1242.99%86.37%0.5063.6%38.68%
3Y3613.09%91.12%0.1448.6%43.35%
5Y60-8.45%95.89%-0.0949.2%-35.23%
10Y120-4.28%95.90%-0.0450.4%-35.18%
All282n/a89.95%n/a49.1%n/a

Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.

Where We Are Now[03]

Percentile Rank
28.7th
0.00median 21.8176.03
Current value 11.2467 on a 282-observation history going back to Aug 7, 2001.
Volatility Regime
low
80.22%REALIZED 30D ANN
Sits at the 24.3th percentile vs full history. Median 89.47%.

Forward Returns by Macro Regime[04]

How 5-Year Note Primary Dealer Share has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.

VIX
Volatility regime: Low (<15), Normal (15-25), Elevated (25-40), Extreme (>40)
CURRENT: 17.26 Normal (15-25)
REGIME BUCKETN+30D+90D+1Y AVG+1Y MEDHIT %
Low (<15)994.87%3.16%-5.14%-9.26%41.2%
Normal (15-25)1372.07%-0.02%-3.22%-4.98%34.0%
Elevated (25-40)36-1.91%-5.31%-12.79%-10.15%35.7%
Extreme (>40)100.17%-5.96%-22.17%-26.84%11.1%
10Y-2Y Yield Curve
Yield curve regime: Inverted (<0bps), Flat (0-100bps), Steep (>100bps)
CURRENT: 0.50 Flat (0-100bps)
REGIME BUCKETN+30D+90D+1Y AVG+1Y MEDHIT %
Inverted (<0bps)374.08%-1.29%-0.36%-12.14%34.6%
Flat (0-100bps)1023.78%4.72%-6.22%-5.66%37.9%
Steep (>100bps)1431.00%-2.65%-7.17%-8.42%34.5%
HY OAS Spread
Credit regime: Tight (<350bps), Normal (350-500bps), Stressed (>500bps)
CURRENT: 2.76 Tight (<350bps)
REGIME BUCKETN+30D+90D+1Y AVG+1Y MEDHIT %
Tight (<350bps)472.26%-1.16%-14.39%-15.06%28.6%
Normal (350-500bps)603.43%4.31%0.28%-5.40%40.0%
Stressed (>500bps)293.99%-1.84%-9.92%-16.90%34.5%
Trade-Weighted Dollar
Dollar regime: bottom/middle/top tercile of trailing 5Y rolling distribution
CURRENT: 118.04 Weak (bottom tercile)
REGIME BUCKETN+30D+90D+1Y AVG+1Y MEDHIT %
Weak (bottom tercile)471.60%-4.14%-8.78%-8.42%37.9%
Neutral (middle)602.49%4.76%0.16%-1.54%41.2%
Strong (top tercile)1252.35%-1.04%-8.01%-14.35%32.3%

Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.

Lead-Lag Relationships[05]

For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads 5-Year Note Primary Dealer Share; negative means it lags.

ANCHORROLEPEAK LAGPEAK CORRZERO-LAGRELATIONSHIP
Initial Jobless ClaimsLabor leader-45d0.3060.058lags target by 45d
HY OAS SpreadCredit risk leader-45d0.2840.093lags target by 45d
VIXVolatility leader-60d0.2470.095lags target by 60d
CopperGlobal growth proxy-45d-0.2460.084lags target by 45d
NFCIFinancial conditions-45d0.246-0.005lags target by 45d
Baa-10Y SpreadCredit risk (slow)+43d0.2430.012leads target by 43d
Trade-Weighted DollarFX driver+58d0.2120.023leads target by 58d
10Y-2Y Yield SpreadRecession leader+25d0.1780.008leads target by 25d
10Y Treasury YieldDiscount-rate driver+7d-0.1700.105leads target by 7d
U-Mich Consumer SentimentSurvey leader0d0.0000.000weak

Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.

Historical Analogs[06]

Periods where 5-Year Note Primary Dealer Share sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.

DATEVALUE+30D+90D+1Y
Apr 23, 202510.3860-21.92%-24.65%8.29%
Dec 24, 202412.3023-14.86%-15.58%-35.20%
Sep 25, 202411.194424.23%-6.44%0.96%
Jun 26, 202412.88422.46%7.94%-23.27%
Mar 26, 202412.698617.30%3.96%0.58%

Worst Historical Drawdown[07]

-89.71%PEAK-TO-TROUGH
Peak May 29, 2008 → trough Aug 27, 2025. Has not yet recovered to prior peak.
All-time high: 76.0345 on May 29, 2008 · Current DD from ATH: -85.21%

Largest Single-Period Moves[09]

▲ Up
  • Jun 21, 201696.27%
  • Mar 29, 201684.69%
  • Jul 29, 200980.17%
  • Oct 25, 202372.72%
  • May 27, 202061.73%
▼ Down
  • Feb 24, 2016-54.18%
  • Jan 25, 2023-47.84%
  • Apr 27, 2020-42.83%
  • Nov 25, 2014-39.87%
  • Aug 24, 2016-39.55%

Calendar-Month Seasonality[10]

Average single-period return aggregated by the calendar month in which the period ended.

MONTHAVG RETURNHIT %N
January-3.63%44.4%18
February-2.96%55.6%18
March13.07%66.7%18
April-4.06%27.8%18
May-1.67%44.4%18
June13.67%66.7%18
July2.32%44.4%18
August-6.11%33.3%18
September10.93%66.7%18
October4.38%50.0%18
November-4.74%33.3%18
December7.15%55.6%18

N = 282 OBS · GENERATED 2026-05-17 21:00Z

Forecast Approach

regime implied: The current macro regime classification (Goldilocks, Reflation, Stagflation, or Deflation) dictates the expected direction and magnitude of movement, calibrated against historical regime performance.

Key Drivers & Risks

  • Macro regime
  • Monetary policy
  • Risk appetite

Historical Volatility

Moderate

Frequently Asked Questions

What factors could push 5-Year Note Primary Dealer Share higher?

The primary drivers that tend to lift 5-Year Note Primary Dealer Share depend on the current macro regime. Primary dealer share at the latest 5-Year Note auction; dealers backstop the issue, so a rising PD share typically signals weaker indirect/direct appetite. Convex tracks these drivers live across the Treasury Auctions category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.

What factors could push 5-Year Note Primary Dealer Share lower?

The same transmission channels that drive 5-Year Note Primary Dealer Share higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.

Where does consensus see 5-Year Note Primary Dealer Share heading?

Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.

What is the historical range for 5-Year Note Primary Dealer Share?

Historical ranges for 5-Year Note Primary Dealer Share vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the 5-Year Note Primary Dealer Share chart page, which includes selectable time ranges up to five years and downloadable data.

How often is the 5-Year Note Primary Dealer Share forecast updated?

This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.

Is this forecast actionable for trading?

Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.

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Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.