Inside the Yield Book by Leibowitz, Martin L. -- Read -- Imperial Library of Trantor

Index

Cover Contents Title Copyright Dedication Preface to the 2013 Edition Acknowledgments Part I: Duration Targeting: A New Look at Bond Portfolios (2013 Edition)

Introduction Chapter 1: Duration Targeting and the Trendline Model

Duration Targeting Trendlines Generality of the TL Model A Jump Yield Path Mirror-Image Paths Random Paths Random Paths to the Same Ending Yield Trendline Duration Horizon Effects Conclusion

Chapter 2: Volatility and Tracking Error

Introduction TL Volatility Non-Trendline Yield Paths Tracking Errors Total Volatility Random Yield Walks with Drift

Chapter 3: Historical Convergence to Yield

Introduction Historical Yield Paths Historical Yield Volatilities Historical Tracking Errors Conclusion

Chapter 4: Barclays Index and Convergence to Yield

Introduction Historical Data Holding Period Returns for a December 2000 Investment Holding Period Returns for Three Different Entry Points Holding Period Returns for All Entry Points Total Return Volatility Barclays Returns and Tracking Error Individual Credit and Government Index Analysis Conclusion

Chapter 5: Laddered Portfolio Convergence to Yield

Introduction Laddered Portfolio with a Stable Flat Yield Curve Laddered Portfolio Rebalancing After a Parallel Curve Shift Laddered Portfolio Yield Pathways Laddered Portfolio Duration Laddered Portfolio Convergence to Yield Laddered Portfolio Barbell versus Single Bond Bullet Conclusion

Appendix: Path Return and Volatility References

Part II: Some Topics That Didn’t Make it into the 1972 Edition (2004 Edition)

Contents of the 2004 Edition Foreword Preface to the 2004 Edition: A Historical Perspective Technical Appendix to “Some Topics”

Part III: Inside the Yield Book (Original Edition)

Preface to the 1972 Edition Contents of the 1972 Edition List of Tables

About the Authors Index