Duration Targeting: : No Magic for High-Yield Investors

• Autores: Martin S. Fridson, Xiaoyi Xu
• Localización: Financial analysts journal, ISSN-e 0015-198X, Vol. 70, Nº. 3, 2014, págs. 28-33
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • Over time, the annualized return of a duration-targeting, investment-grade corporate bond portfolio will nearly match its initial yield. A high-yield bond portfolio�s performance is not similarly predictable. Furthermore, the difference between the high-yield universe�s initial yield and annualized return has a sharply negative bias. The absence of benefits from duration targeting has a bearing on valuation of the high-yield asset class and helps explain the instability in its investor base.