Sentences with phrase «measure of a bond portfolio»
Duration is a measure of a bond portfolio's sensitivity to changing interest rates.
https://www.nytimes.com/ Not exact matches
«It is a terrible mistake for investors with long - term horizons... to measure their investment «risk» by their portfolio's ratio of bonds to stocks,» Buffett wrote in the February 24 letter.
Duration, the most commonly used measure of bond risk, quantifies the effect of changes in interest rates on the price of a bond or bond portfolio.
Each month, Palhares and Richardson sorted corporate bonds into quintiles based on each liquidity measure and computed the return of a long / short portfolio that buys the least liquid bonds (i.e., smaller issue sizes, higher bid / ask spreads, lower trading volume, higher price impact or higher frequency of zero - trading days) and sells the most liquid bonds (i.e., larger issue sizes, smaller bid / ask spreads, higher trading volume, lower price impact or lower frequency of zero - trading days).
Investors use duration to measure the volatility of the bond or a bond portfolio.
It is a terrible mistake for investors with long - term horizons — among them, pension funds, college endowments and savings - minded individuals — to measure their investment «risk» by their portfolio's ratio of bonds to stocks.
Although, when we look at what may be the holy grail of diversification, measured by the risk adjusted return of a portfolio when commodities are added to stocks and bonds, the DJCI comes out slightly ahead.
From 1980 through 2017, a theoretical index portfolio with equal amounts of Canadian bonds, Canadian stocks, U.S. stocks and international stocks returned 10.3 % annually with a standard deviation — a measure of volatility — of 11.6 %.
Most indices are parts of families of broader indices that can be used to measure global bond portfolios, or may be further subdivided by maturity or sector for managing specialized portfolios.
An index is a statistical measure of a portfolio of stocks or bonds representing a particular market or a portion of it.
Each month, Palhares and Richardson sorted corporate bonds into quintiles based on each liquidity measure and computed the return of a long / short portfolio that buys the least liquid bonds (i.e., smaller issue sizes, higher bid / ask spreads, lower trading volume, higher price impact or higher frequency of zero - trading days) and sells the most liquid bonds (i.e., larger issue sizes, smaller bid / ask spreads, higher trading volume, lower price impact or lower frequency of zero - trading days).
For example, given that the price return of a bond is determined by the bond's duration and yield change, a bond portfolio constructed using the volatility measure of standard deviation of price return could be biased toward bonds with short duration.
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).
Second, using the simple measure of price return volatility to construct a low volatility bond portfolio could introduce unintended bias.
Duration measures the sensitivity of a bond portfolio to a change in interest rates.
This definition allows for measuring the incremental contribution of each bond to the portfolio credit risk within the framework of duration times spread (DTS).
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.
An option - adjusted measure of a bond's (or portfolio's) sensitivity to changes in interest rates calculated as the average percentage change in a bond's value (price plus accrued interest) under shifts of the Treasury curve + / - 100 bps.
The AssetBuilder (AB) constructed portfolios — Model Portfolios — have been developed based on historical performance of the standard asset classes (stocks, bonds and cash) and of representative market index fundportfolios — Model Portfolios — have been developed based on historical performance of the standard asset classes (stocks, bonds and cash) and of representative market index fundPortfolios — have been developed based on historical performance of the standard asset classes (stocks, bonds and cash) and of representative market index fund measures.
When natural resources are added to a portfolio of stocks and bonds, the Sharpe Ratio, a measure of risk - adjusted return, falls from the poor performance.
Right now, the overall bond market in Canada (as measured by the FTSE TMX Canada Universe Bond Index) is yielding 2 %, so that's your baseline for the safe portion of your portfolio for the next 10 yebond market in Canada (as measured by the FTSE TMX Canada Universe Bond Index) is yielding 2 %, so that's your baseline for the safe portion of your portfolio for the next 10 yeBond Index) is yielding 2 %, so that's your baseline for the safe portion of your portfolio for the next 10 years.
Your bonds are now down from 100 % of your portfolio to 12 %, and the amount of risk (measured in standard deviation) has increased about three fold.
Adjust portfolios over economic and market cycles One of the best times to own high - yield bonds is during the expansion phase of an economic cycle, when financial measures are increasing along with consumer confidence.
The BH&J Index measures the relationship between purchasing property and building wealth through a buildup in equity versus renting a comparable property and investing in a portfolio of stocks and bonds.