Sentences with phrase «duration of the bond indices»

Not exact matches

Treasury bonds, which tend to have longer durations, now represent more than one - third of the index compared with 22 percent in 2007.

The bond sector allocations and duration of passively - managed ETFs will not deviate at all from the benchmark index.

The fund has no targeted maturity, but does target a duration within 10 % of the Bloomberg Barclays U.S. Corporate Investment Grade Bond Index, which as of the end March was 7.5 years.

Yes the Index - linked fund is more susceptible to interest rate risk than the regular bond fund, but not by the nature of it being a linker, it's because the average duration is longer.

The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration measures the performance of Investment Grade securities and is selected by a Market Value process.

Both of these ETFs track a traditional bond index, and the funds also short Treasury futures to hedge duration risk.

I got in touch with L&G in 2014 to ask them about the average duration of holdings in the Global Inflation Linked Bond Index Fund, they responded that it was 8.20.

Currently, 1 ETF track the Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration with more than $ 30.73 M in ETP assets with an average expense ratio of 0.28 %.

@Matt — I should leave @TA to comment on his article when he gets a chance, but just quickly the regular Vanguard bond fund in the Slow and Steady portfolio has a duration of 12.3 years versus the index - linked fund's much greater 23.1 year duration.

While this only goes back to 1999, it would still be insightful to compare these two indexes on a year by year and aggregate basis for total return and volatility to get a true sense of the difference that treasury bond duration makes.

The iShares Lehman Credit Bond Index (NYSE: CFT) has about the same duration as LQD at just north of six years.

The duration of the S&P Municipal Bond High Yield Index is 7.58 vs a 4.98 duration of the S&P U.S. Issued High Yield Corporate Bond Index.

Interest rate sensitivity, also known as duration, is based on the Barclays U.S. Credit Bond Index (all maturities), and short - term bonds represented by the subset of bonds within the index with maturities of 1 - 5 years (Barclays 1 - 5 Year U.S. Credit Bond InIndex (all maturities), and short - term bonds represented by the subset of bonds within the index with maturities of 1 - 5 years (Barclays 1 - 5 Year U.S. Credit Bond Inindex with maturities of 1 - 5 years (Barclays 1 - 5 Year U.S. Credit Bond IndexIndex).

In June 2017, the duration of the Bloomberg Barclays US Aggregate Bond Index exceeded six years for the first time since the late 1970s.

The bond's interest rate is tied to a benchmark interest rate index like the LIBOR, the federal funds rate, or a specific duration U.S. Treasury bond yield (in the case of Treasury floating rate notes).

Similar to a barometer, the duration of the Bloomberg Barclays US Aggregate Bond Index is a helpful indicator of coming change.

As of Nov. 10, 2017, the yield - to - worst of the S&P China Bond Index was 4.5 %, which widened 150 bps over the 12 - month period, with a modified duration of 3.86.

As of January 2017, the investment grade corporate bond index bears the highest duration of 6.9, while the two high yield indices have much shorter durations of approximately 4.2.

The iShares Canadian Universe Bond Index ETF (XBB), which tracks the overall Canadian investment - grade bond market, has a duration of Bond Index ETF (XBB), which tracks the overall Canadian investment - grade bond market, has a duration of bond market, has a duration of 6.9.

As of July 21, 2015, the yield - to - worst of the S&P China Provincial Bond Index was 3.49 % (with a modified duration of 5.19), whereas the yield - to - worst of the S&P China Sovereign Bond Index was 3.15 % (with a modified duration of 5.60).

As of Nov 5, 2014, the yield - to - worst of the S&P China Bond Index stood at 4.09 % with a modified duration of 4.15, see Exhibit 1.

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.

On that basis, I'd bought XSB (a short - term bond index, average duration of about 2.9 years).

Meanwhile, the iShares DEX All Corporate Bond Index Fund (XCB) has a duration of 5.78, which is very close to that of the RBC Target 2018 ETF.

These funds have no choice but to use sampling: they buy a smaller number of bonds that approximate the overall characteristics of the index (average term, coupon, duration, etc.).

Rates on loans typically reset every 90 days, implying a duration of 0.25 versus a current effective duration of 4.18 on the S&P U.S High Yield Corporate Bond Index.

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.

The index is comprised of (a) long positions in USD - denominated high yield corporate bonds («high yield bonds») and (b) short positions in U.S. Treasury notes or bonds («Treasury Securities») of, in aggregate, approximate equivalent duration.

Duration: Investment grade corporate bonds of the issuers of the S&P 500 Index are tracked in the S&P 500 / MarketAxess Investment Grade Corporate Bond Index.

The Citi 30 - Year TIPS (Treasury Rate - Hedged) Index tracks the performance of long positions in the most recently issued 30 - year Treasury Inflation - Protected Securities (TIPS) and duration - adjusted short positions in U.S. Treasury bonds of, in aggregate, approximate equivalent duration to the TIPS.

Tobacco settlement bonds tracked by the S&P Municipal Bond Tobacco Index are down nearly 9 % year to date as yields have risen by over 255bps as the credit risk of these long duration bonds is questioned.

The average duration of the S&P Municipal Bond Tobacco Index is over 11.5 years.

By comparison, the S&P U.S. Issued High Yield Corporate Bond Index has a duration of over 4.8 years and is up 3.6 % year to date.

The tobacco bond exposure helps lengthen the duration of the index to over 9 years.

We use a five - year bond as representative of the approximate duration risk an investor faces in a broad emerging markets local currency bond index.

I am wary about the duration of the Bloomberg Barclays US Aggregate Bond Index, 10 which has lengthened to 7.5 years while spreads have tightened to nearly 1 percent.

The iShares CDN Short Bond Index Fund (Ticker Symbol XSB) tracks the performance of an index of short - term bonds (1 - 5 years) and sports a MER of 0.25 % and duration of 2.56 yIndex Fund (Ticker Symbol XSB) tracks the performance of an index of short - term bonds (1 - 5 years) and sports a MER of 0.25 % and duration of 2.56 yindex of short - term bonds (1 - 5 years) and sports a MER of 0.25 % and duration of 2.56 years.

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).

Generally, Morningstar classifies a fixed - income fund's interest - rate sensitivity based on the effective duration of the Morningstar Core Bond Index (MCBI), which is currently three years.

For example, a total U.S bond market index fund that tracks the Bloomberg Barclays U.S. Aggregate Bond Index — a good proxy for the taxable bond market overall — currently has a duration of about six yebond market index fund that tracks the Bloomberg Barclays U.S. Aggregate Bond Index — a good proxy for the taxable bond market overall — currently has a duration of about six yindex fund that tracks the Bloomberg Barclays U.S. Aggregate Bond Index — a good proxy for the taxable bond market overall — currently has a duration of about six yeBond Index — a good proxy for the taxable bond market overall — currently has a duration of about six yIndex — a good proxy for the taxable bond market overall — currently has a duration of about six yebond market overall — currently has a duration of about six years.

These long duration higher yielding bonds represent just under 15 % of the total market value of the S&P Municipal Bond High Yield Index which has returned 9.86 % year to date.

I couldn't find a webpage on this obscure index but it sounds like a broad market index of Canadian Government bonds of medium duration.

The S&P China Corporate Bond Index has expanded rapidly in the past 10 years, as the market value tracked by the index was RMB 18 trillion, which has increased 34-fold since the index's first value date on Dec. 29, 2006, and the yield - to - maturity stood at 5.04 % with a modified duration of 2.44 (see Exhibit 2 for the yield compariIndex has expanded rapidly in the past 10 years, as the market value tracked by the index was RMB 18 trillion, which has increased 34-fold since the index's first value date on Dec. 29, 2006, and the yield - to - maturity stood at 5.04 % with a modified duration of 2.44 (see Exhibit 2 for the yield compariindex was RMB 18 trillion, which has increased 34-fold since the index's first value date on Dec. 29, 2006, and the yield - to - maturity stood at 5.04 % with a modified duration of 2.44 (see Exhibit 2 for the yield compariindex's first value date on Dec. 29, 2006, and the yield - to - maturity stood at 5.04 % with a modified duration of 2.44 (see Exhibit 2 for the yield comparison).

In June of 2017, the duration of the Bloomberg Barclays US Aggregate Bond Index exceeded six years for the first time since 1978.

Like equity, which is a long duration asset, these bonds in the index are noncallable with 25 - 30 years of maturity.

The important point is this: as the duration of indexes increases and as credit quality decreases, the expected long - term return of a bond index increases to compensate for those extra risks.

In comparison with the S&P U.S. Issued Investment Grade Corporate Bond Index, it is yielding 2.97 % (YTW), but with a longer modified duration of 6.38 years and more assumed credit risk.

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).

The S&P National AMT - Free Municipal Bond Index, with a duration of 5.3 years, is yielding 2.93 % (YTW).

Duration, which measures the sensitivity of bonds within a portfolio to interest rates, recently exceeded six years in the Index for the first time since 1978.