2-Year Note Primary Dealer Share Forecast 2026
Quantitative analysis from 300 observations of 2-Year Note Primary Dealer Share history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 12 | 15.13% | 184.29% | 0.08 | 54.5% | 13.80% |
| 3Y | 36 | -8.44% | 128.01% | -0.07 | 57.1% | -22.77% |
| 5Y | 60 | -13.06% | 132.58% | -0.10 | 54.2% | -49.79% |
| 10Y | 120 | -2.90% | 123.88% | -0.02 | 55.5% | -25.36% |
| All | 300 | n/a | 109.44% | n/a | 50.9% | 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]
Forward Returns by Macro Regime[04]
How 2-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.
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Low (<15) | 102 | 2.17% | 3.78% | -4.86% | -11.19% | 38.8% |
| Normal (15-25) | 147 | 5.05% | 0.59% | -3.13% | -4.98% | 40.8% |
| Elevated (25-40) | 44 | 0.34% | 0.39% | -7.68% | -10.39% | 32.1% |
| Extreme (>40) | 7 | 1.20% | -6.37% | -23.05% | -24.44% | 14.3% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Inverted (<0bps) | 38 | 0.30% | -4.52% | -17.36% | -13.47% | 19.2% |
| Flat (0-100bps) | 103 | 7.36% | 8.53% | -1.03% | -4.98% | 43.3% |
| Steep (>100bps) | 159 | 1.31% | -2.06% | -4.50% | -5.59% | 39.3% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Tight (<350bps) | 47 | 5.69% | -0.40% | -13.95% | -21.09% | 28.6% |
| Normal (350-500bps) | 61 | 2.09% | 1.47% | -3.20% | -7.85% | 41.0% |
| Stressed (>500bps) | 28 | 5.40% | 6.95% | -4.07% | -14.34% | 39.3% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Weak (bottom tercile) | 47 | 5.67% | 3.07% | -7.01% | -4.61% | 44.8% |
| Neutral (middle) | 62 | 4.94% | 2.80% | 2.21% | -2.07% | 43.4% |
| Strong (top tercile) | 123 | 2.16% | 0.70% | -7.97% | -12.79% | 33.6% |
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 2-Year Note Primary Dealer Share; negative means it lags.
| ANCHOR | ROLE | PEAK LAG | PEAK CORR | ZERO-LAG | RELATIONSHIP |
|---|---|---|---|---|---|
| Initial Jobless Claims | Labor leader | -45d | 0.460 | -0.057 | lags target by 45d |
| HY OAS Spread | Credit risk leader | -45d | 0.386 | 0.028 | lags target by 45d |
| NFCI | Financial conditions | -47d | -0.334 | -0.001 | lags target by 47d |
| 10Y-2Y Yield Spread | Recession leader | -39d | 0.277 | 0.074 | lags target by 39d |
| Baa-10Y Spread | Credit risk (slow) | -45d | 0.262 | 0.001 | lags target by 45d |
| Copper | Global growth proxy | -45d | -0.202 | 0.080 | lags target by 45d |
| 10Y Treasury Yield | Discount-rate driver | -45d | -0.186 | 0.014 | lags target by 45d |
| Trade-Weighted Dollar | FX driver | +56d | -0.180 | 0.006 | leads target by 56d |
| VIX | Volatility leader | +12d | -0.162 | 0.107 | leads target by 12d |
| U-Mich Consumer Sentiment | Survey leader | 0d | 0.000 | 0.000 | weak |
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 2-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.
| DATE | VALUE | +30D | +90D | +1Y |
|---|---|---|---|---|
| Apr 22, 2025 | 12.7932 | -28.29% | -32.68% | -18.39% |
| Dec 23, 2024 | 11.0538 | 15.94% | 15.74% | 3.69% |
| Sep 24, 2024 | 12.4046 | 41.03% | 3.31% | -12.65% |
| Jun 25, 2024 | 12.8552 | -34.30% | 36.08% | -7.22% |
| Mar 25, 2024 | 13.2151 | 11.91% | -36.09% | -22.31% |
Worst Historical Drawdown[07]
Largest Single-Period Moves[09]
- Jun 20, 2016165.14%
- Mar 24, 2026148.65%
- Jul 28, 2009127.75%
- Nov 22, 202193.79%
- Mar 27, 202389.36%
- May 24, 2016-53.59%
- Apr 27, 2026-51.84%
- Feb 24, 2025-51.71%
- Aug 23, 2016-51.42%
- Nov 25, 2024-51.26%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
| MONTH | AVG RETURN | HIT % | N |
|---|---|---|---|
| January | -12.81% | 27.8% | 18 |
| February | -3.05% | 38.9% | 18 |
| March | 17.00% | 55.6% | 18 |
| April | 4.01% | 55.6% | 18 |
| May | -7.12% | 50.0% | 18 |
| June | 10.82% | 38.9% | 18 |
| July | 7.13% | 50.0% | 18 |
| August | 2.95% | 55.6% | 18 |
| September | 7.03% | 50.0% | 18 |
| October | -1.72% | 52.9% | 17 |
| November | 5.96% | 57.9% | 19 |
| December | 9.84% | 77.8% | 18 |
N = 300 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 2-Year Note Primary Dealer Share higher?▾
The primary drivers that tend to lift 2-Year Note Primary Dealer Share depend on the current macro regime. Primary dealer share at the latest 2-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 2-Year Note Primary Dealer Share lower?▾
The same transmission channels that drive 2-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 2-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 2-Year Note Primary Dealer Share?▾
Historical ranges for 2-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 2-Year Note Primary Dealer Share chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the 2-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.
Get forecast updates for 2-Year Note Primary Dealer Share and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.