Bond Holding Period Return Decomposition PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Bond Holding Period Return Decomposition PDF full book. Access full book title Bond Holding Period Return Decomposition by Robert Brooks. Download full books in PDF and EPUB format.
Author: Robert Brooks Publisher: ISBN: Category : Languages : en Pages :
Book Description
The problem of decomposing bond portfolio holding period returns is addressed in this paper. Bond holding period returns are decomposed into four main components, the non-random horizon component, the spread component, the base-rate component, and an interaction component. The horizon component captures the return attributable to the mere passage of time over the holding period horizon based solely on the selected base spot rate curve. The spread component captures the return attributable to any change in the spread over the fitted base spot rate curve. The base-rate component captures movement in the fitted base spot rate curve using the LSC model introduced in this paper. The base-rate component of returns can be further decomposed into three components attributable to modified duration, convexity, and cross-convexity using the Taylor series approximation. Each of these three base-rate components can be further decomposed into three subcomponents tied to movement in level, movement in slope, and movements in a set of curvature components. We illustrate our results with several numerical examples, generic as well as actual U.S. Treasury data.
Author: Robert Brooks Publisher: ISBN: Category : Languages : en Pages :
Book Description
The problem of decomposing bond portfolio holding period returns is addressed in this paper. Bond holding period returns are decomposed into four main components, the non-random horizon component, the spread component, the base-rate component, and an interaction component. The horizon component captures the return attributable to the mere passage of time over the holding period horizon based solely on the selected base spot rate curve. The spread component captures the return attributable to any change in the spread over the fitted base spot rate curve. The base-rate component captures movement in the fitted base spot rate curve using the LSC model introduced in this paper. The base-rate component of returns can be further decomposed into three components attributable to modified duration, convexity, and cross-convexity using the Taylor series approximation. Each of these three base-rate components can be further decomposed into three subcomponents tied to movement in level, movement in slope, and movements in a set of curvature components. We illustrate our results with several numerical examples, generic as well as actual U.S. Treasury data.
Author: Frank Fabozzi Publisher: McGraw Hill Professional ISBN: 0071715371 Category : Business & Economics Languages : en Pages : 30
Book Description
From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author: Edward F. McQuarrie Publisher: ISBN: Category : Languages : en Pages : 135
Book Description
From 1857 scholars have relied on Macaulay (1938) to track changes in interest rates during the period before the Ibbotson data begin. Holding period returns, where of interest (e.g., Siegel 1992a, 1992b), have been calculated from summary yield inputs such as those tabulated by Homer (1963), rather than observed prices of individual bonds. Here in Part II of the paper I explain how Homer got Macaulay wrong, misleading downstream compilers such as Siegel, and causing him to under-estimate 19th century bond returns. Values in Homer taken from Macaulay are not yields, but mathematical constructions erected on a (distant) foundation of observations. I correct Siegel's under-estimate by retrieving bond prices from Macaulay's sources and calculating holding period returns directly. I also correct a more general failure to treat Federal bonds properly during the greenback era. In the aggregate I find real bond returns in the second half of the 19th century to be about 150 basis points higher than Siegel. With this correction, in conjunction with corrected stock returns before 1871, I find that bond returns matched stock returns over the entire 19th century. The “stocks for the long run” thesis now appears to be a mistaken extrapolation from a few decades in the middle of the 20th century. No support for it can be found in the 19th century.
Author: Barbara S. Petitt Publisher: John Wiley & Sons ISBN: 1119646863 Category : Business & Economics Languages : en Pages : 943
Book Description
CFA Institute's essential guide to fixed-income portfolio management, revised and updated Now in its fourth edition, Fixed Income Analysis offers authoritative and up-to-date coverage of how successful investment professionals analyze and manage fixed-income portfolios. With contributions from a team of financial experts, the text is filled with detailed information from CFA Institute and contains a comprehensive review of the essential topics in the field. Fixed Income Analysis introduces the fundamental concepts of fixed-income securities and markets and provides in-depth coverage of fixed-income security valuation and portfolio management. The book contains a general framework for valuation that is designed to be accessible to both professionals and those new to the field. The fourth edition provides updated coverage of fixed-income portfolio management including detailed coverage of liability-driven and index-based strategies, the major types of yield curve strategies, and approaches to implementing active credit strategies. The authors include examples that help build the knowledge and skills needed to effectively manage fixed-income portfolios. Fixed Income Analysis gives a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed-income markets will appreciate this accessible guide to fixed-income analysis.
Author: Gueorgui S Konstantinov Publisher: World Scientific ISBN: 9811272581 Category : Business & Economics Languages : en Pages : 421
Book Description
Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.
Author: Carl R. Bacon Publisher: CFA Institute Research Foundation ISBN: 1944960902 Category : Business & Economics Languages : en Pages : 68
Book Description
The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.
Author: Ken Nyholm Publisher: John Wiley & Sons ISBN: 0470721073 Category : Business & Economics Languages : en Pages : 192
Book Description
Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this Enables readers to implement financial and econometric models in Matlab All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed All concepts and techniques are introduced from a basic level Chapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniques Chapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed form Chapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived - a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPM Chapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presented Supported by a website with online resources - www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises
Author: Sumru Altug Publisher: Cambridge University Press ISBN: 1139474367 Category : Business & Economics Languages : en Pages : 702
Book Description
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Author: Robert Brooks
Author: Robert Brooks
Author: Babak Eftekhari
Author: Roger G. Ibbotson
Author: Frank Fabozzi
Author: Edward F. McQuarrie
Author: Barbara S. Petitt
Author: Gueorgui S Konstantinov
Author: Carl R. Bacon
Author: Ken Nyholm
Author: Sumru Altug