A completely updated edition of the guide to modern bond
analysis
First published in 1972, Inside the Yield Book
revolutionized the fixed-income industry and forever altered the
way investors looked at bonds. Over forty years later, it remains a
standard primer and reference among market professionals.
Generations of practitioners, investors, and students have relied
on its lucid explanations, and readers needing to delve more deeply
have found its explication of key mathematical relationships to be
unmatched in clarity and ease of application.
This edition updates the widely respected classic with new
material from Martin L. Leibowitz. Along the way, it skillfully
explains and makes sense of essential mathematical relationships
that are basic to an understanding of bonds, annuities, and
loans–in fact, any securities or investments that involve
compound interest and the determination of present value for future
cash flows. The book also includes a new foreword.
* Contains information that is more instructive, important, and
useful than ever for mastering the crucial concepts of time, value,
and return
* Combines the clear fixed-income insights found in the original
edition with completely new knowledge to help you navigate today’s
dynamic market
* Includes over one hundred pages of new material on the role of
bonds within the total portfolio
In an era of calculators and computers, some of the important
underlying principles covered here are not always grasped
thoroughly by market participants. Investors, traders, and analysts
who want to sharpen their ability to recall and apply these
fundamentals will find Inside the Yield Book the perfect
resource.
Tabella dei contenuti
Preface to the 2013 Edition ix
Acknowledgments xi
PART I: DURATION TARGETING: A NEW LOOK AT BOND PORTFOLIOS
(2013 EDITION) 1
Introduction 3
CHAPTER 1 Duration Targeting and the Trendline Model 9
CHAPTER 2 Volatility and Tracking Error 35
CHAPTER 3 Historical Convergence to Yield 51
CHAPTER 4 Barclays Index and Convergence to Yield 63
CHAPTER 5 Laddered Portfolio Convergence to Yield 81
Appendix: Path Return and Volatility 95
References 105
PART II: SOME TOPICS THAT DIDN’T MAKE IT INTO THE 1972
EDITION (2004 EDITION) 107
Contents of the 2004 Edition 109
Foreword by Henry Kaufman 111
Preface to the 2004 Edition: A Historical Perspective 113
Technical Appendix to ‘Some Topics’ 157
PART III: INSIDE THE YIELD BOOK (ORIGINAL EDITION)
171
Preface to the 1972 Edition 173
Contents of the 1972 Edition 175
List of Tables 179
About the Authors 349
Index 353
Circa l’autore
MARTIN L. LEIBOWITZ is a managing director with Morgan
Stanley Research Department’s global strategy team. Prior to Morgan
Stanley, he was vice chairman and chief investment officer of
TIAA-CREF. He is the author of numerous books, and over 200
articles on various investment analysis topics, ten of which have
won the prestigious Graham and Dodd Award. Leibowitz has received
three of the CFA Institute’s highest awards: the Nicholas
Molodovsky Award, the James R. Vertin Award, and the Professional
Excellence Award. In 1995, he became the first inductee into the
Fixed Income Analysts Society’s Hall of Fame.
The late SIDNEY HOMER was the founder and general partner
in charge of Salomon Brothers’ bond market research department.
Best known for his pioneering and analytical studies of bond market
history and relative values and the economic forces that create
bond market trends, he is the author of several books including
A History of Interest Rates, The Bond Buyer’s Primer, and
The Price of Money. He was inducted posthumously into the
Fixed Income Analysts Society’s Hall of Fame in 1997.
ANTHONY BOVA is an Executive Director with Morgan Stanley
Equity Research’s Global Strategy team. He won Best Article in the
ninth annual Bernstein Fabozzi/Jacobs Levy Awards presented by the
Journal of Portfolio Management for his coauthoring of
‘Gathering Implicit Alphas in a Beta World.’ In 2008, Mr. Bova
coauthored Modern Portfolio Management (Wiley), which
focused on active equity strategies. In 2010, he coauthored The
Endowment Model of Investing (Wiley) with Martin Leibowitz and
Brett Hammond of TIAA-CREF.
STANLEY KOGELMAN is President of Delft Strategic
Advisors, LLC, and a Principal at Advanced Portfolio Management.
Prior to founding Delft Strategic Advisors, he served as a managing
director at JPMorgan Private Bank and Goldman, Sachs & Co. He
is the author and coauthor of more than sixty articles on finance
and received two Graham and Dodd Awards and published two books
jointly with Martin Leibowitz. In an earlier academic career, he
held senior mathematics faculty positions and wrote several
pioneering books on mathematics education, including Mind Over
Math and The Only Math Book You’ll Ever Need.
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