6-Month T-Bill Mid Year Projection Review in 2024

This Opinion post first appeared in my blog here: https://pwlcm.wordpress.com/2024/07/01/2024-6-month-t-bill-mid-year-projection-review/

Disclaimer: This post is just for educational sharing purposes. Please do your own due diligence on any products mentioned in this post.

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Since I wrote about Projection of 6-Month T-Bills Cut-Off Yield in 2024 on 22 January this year, I went through 10 projections on the 6-month T-bills starting from the BS24103H issue. As we enter second half of the year, I would like to do a mid year review on how well the projections were performing.

Here is a tabulation of the 10 projection results:

The table is divided into 3 main sections:

• The left section records the projected yield and range from the 2 projection methods
• The middle section shows the actual cut-off yield from the auction results
• The right section captures the deviations from the projected yield and range for both projection methods

A few key takeaways from the table:

• Both methods on average underestimated the projected yields, i.e. actual cut-off yields are 0.10% and 0.06% higher than the projected yields for Yield Premium and Trendline methods respectively
• Trendline method did overestimate the projected yields for a few T-bill issues, but the average deviation is lower than that of the Yield Premium method
• Trendline method has slightly higher hit rate than that of Yield Premium method, in terms of capturing the actual cut-off yields within its projected yield ranges

I will do another review at the end of the year.