Sentences with phrase «between bond duration»

But you still get a good sense of the risk differential between bond duration and maturities when looking at this losses: *

Not exact matches

The objective of this study is to determine whether there was a statistically significant change between the number of mini flash crashes during the three - minute window before the start of the October 2014 U.S. Treasury Bond Flash Crash compared to other windows of the same duration.

Generally, the higher the duration, the more the price of the bond (or the value of the portfolio) will fall as rates rise because of the inverse relationship between bond yield and price.

High yield (HY) spreads — the difference between the yield of a high yield bond and a Treasury note of similar duration — are down 2 percentage points from their February peak, as investors buy high yield bonds.

Duration is affected by maturity, the bond's coupon, and the time interval between payments.

Acquire the monthly total credit premium of each corporate bond as the difference in total (coupon - reinvested) returns between the bond and a duration - matched U.S. Treasury instrument.

Does the credit premium, measured by the difference in returns between U.S. corporate bonds and duration - matched U.S. Treasuries, exhibit momentum?

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This lowering of yields has exacerbated another challenge that already existed for traditional bond portfolios: the spread between duration and yield, which exacerbates interest rate risk.

With duration fears taking hold, investors favored short - term U.S. government debt, sinking US$ 2.3 billion into an iShares ETF that holds Treasury bonds with remaining maturities of between one month and a year, the most since January 2016.

Short - Duration Bonds are represented by the Bloomberg Barclays 1 - 3 Gov» t. / Credit Index which is composed of the Bloomberg Barclays Government and Corporate Bond Indexes, including U.S. government Treasury and agency securities as well as corporate and Yankee bonds, with maturities between 1 and 3 yBonds are represented by the Bloomberg Barclays 1 - 3 Gov» t. / Credit Index which is composed of the Bloomberg Barclays Government and Corporate Bond Indexes, including U.S. government Treasury and agency securities as well as corporate and Yankee bonds, with maturities between 1 and 3 ybonds, with maturities between 1 and 3 years.

If you want more protection against rising rates, you can go with a short - term bond fund — for example, Vanguard Short - Term Bond index fund has a duration of just over 2.7 years — or you could split your bond stake between a total bond market and a short - term bond index fbond fund — for example, Vanguard Short - Term Bond index fund has a duration of just over 2.7 years — or you could split your bond stake between a total bond market and a short - term bond index fBond index fund has a duration of just over 2.7 years — or you could split your bond stake between a total bond market and a short - term bond index fbond stake between a total bond market and a short - term bond index fbond market and a short - term bond index fbond index fund.

As the table above shows, the percentage mix of bond types varies between the different insurance company types due, in part, to duration management and risk appetite.

The difference between the allocations has only been 4 % since mid-December of 2014 when one employs index fund proxies like Vanguard Total Stock Market (VTI), iShares Corporate Bond (LQD) and Guggenheim Enhanced Short Duration (GSY).

I also presented in Article 6.2 that the «sweet spot» for bond durations is around 7 years, because it balances between decent yields and manageable potential price declines.

Their main performance metric is 7 - factor hedge fund alpha, which corrects for seven risks proxied by: (1) S&P 500 Index excess return; (2) difference between Russell 2000 Index and S&P 500 Index returns; (3) 10 - year U.S. Treasury note (T - note) yield, adjusted for duration, minus 3 - month U.S. Treasury bill yield; (4) change in spread between Moody's BAA bond and T - note, adjusted for duration; and, (5 - 7) excess returns on straddle options portfolios for currencies, commodities and bonds constructed to replicate trend - following strategies in these asset classes.

The typical model bond sleeve had duration between 3.6 years and 4.4 years, while the Bloomberg Barclays U.S. Aggregate Bond Index's duration is currently 5.9 yebond sleeve had duration between 3.6 years and 4.4 years, while the Bloomberg Barclays U.S. Aggregate Bond Index's duration is currently 5.9 yeBond Index's duration is currently 5.9 years.

When investing in bonds, they focus on the best fit between «return» and «duration.»

So by limiting yourself to bond funds with short durations or by splitting your bond stake between funds with short durations (say, two to three years) and ones with intermediate durations (say, five to seven years), you can mitigate the damage somewhat should rates rise.

These days, there is an ETF for all the main types of bonds — government, corporate, municipal, short - / medium - / long duration, investment grade, non-investment grade, emerging markets, developed markets, interest rate hedged, convertible, inflation - linked, variable rate, and mostly everything in between.

In the construction of the S&P U.S. High Yield Low Volatility Corporate Bond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see EquationBond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equationbond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equationbond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equation 1).

MCR borrows the concept of DTS by multiplying spread duration by the difference between bond OAS and portfolio average OAS, instead of OAS directly.

Dodge & Cox Global Bond (DODLX, 3.8 %) has a relatively short duration of 3.3, with holdings split about evenly between U.S. bonds and foreign bonds.

To make a fair comparison between the two asset classes indices were selected that have comparable weighted average modified durations: S&P National AMT - Free Municipal Bond Index and the S&P 500 5 - 7 Year Investment Grade Corporate Bond Index.

Prior to 8/19/13, Fund employed a strategy of investing in fixed - rate bonds with a dollar - weighted average portfolio duration of between three and nine years.

A balance must be struck between limiting risk using shorter duration or higher credit quality bonds versus maximizing investment yield with longer duration or lower credit quality bonds.

«We continue to favor short maturity bonds in places like Australia, Israel and South Korea where yields between 3 and 5 percent have recently been available on bonds with less than two years of duration and strong creditworthiness in our assessment.