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Inside the Yield Book: The Classic That Created the Science of Bond Analysis, 3rd Edition

Book Description

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.

Table of Contents

  1. Cover
  2. Contents
  3. Title
  4. Copyright
  5. Dedication
  6. Preface to the 2013 Edition
  7. Acknowledgments
  8. Part I: Duration Targeting: A New Look at Bond Portfolios (2013 Edition)
    1. Introduction
    2. Chapter 1: Duration Targeting and the Trendline Model
      1. Duration Targeting
      2. Trendlines
      3. Generality of the TL Model
      4. A Jump Yield Path
      5. Mirror-Image Paths
      6. Random Paths
      7. Random Paths to the Same Ending Yield
      8. Trendline Duration
      9. Horizon Effects
      10. Conclusion
    3. Chapter 2: Volatility and Tracking Error
      1. Introduction
      2. TL Volatility
      3. Non-Trendline Yield Paths
      4. Tracking Errors
      5. Total Volatility
      6. Random Yield Walks with Drift
    4. Chapter 3: Historical Convergence to Yield
      1. Introduction
      2. Historical Yield Paths
      3. Historical Yield Volatilities
      4. Historical Tracking Errors
      5. Conclusion
    5. Chapter 4: Barclays Index and Convergence to Yield
      1. Introduction
      2. Historical Data
      3. Holding Period Returns for a December 2000 Investment
      4. Holding Period Returns for Three Different Entry Points
      5. Holding Period Returns for All Entry Points
      6. Total Return Volatility
      7. Barclays Returns and Tracking Error
      8. Individual Credit and Government Index Analysis
      9. Conclusion
    6. Chapter 5: Laddered Portfolio Convergence to Yield
      1. Introduction
      2. Laddered Portfolio with a Stable Flat Yield Curve
      3. Laddered Portfolio Rebalancing After a Parallel Curve Shift
      4. Laddered Portfolio Yield Pathways
      5. Laddered Portfolio Duration
      6. Laddered Portfolio Convergence to Yield
      7. Laddered Portfolio Barbell versus Single Bond Bullet
      8. Conclusion
    7. Appendix: Path Return and Volatility
    8. References
  9. Part II: Some Topics That Didn’t Make it into the 1972 Edition (2004 Edition)
    1. Contents of the 2004 Edition
    2. Foreword
    3. Preface to the 2004 Edition: A Historical Perspective
    4. Technical Appendix to “Some Topics”
  10. Part III: Inside the Yield Book (Original Edition)
    1. Preface to the 1972 Edition
    2. Contents of the 1972 Edition
    3. List of Tables
  11. About the Authors
  12. Index