Leibowitz / Homer / Bova Inside the Yield Book

The Classic That Created the Science of Bond Analysis
3. Auflage 2013
ISBN: 978-1-118-41758-4
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 368 Seiten, E-Book

Reihe: Bloomberg Professional

A completely updated edition of the guide to modern bondanalysis
First published in 1972, Inside the Yield Bookrevolutionized the fixed-income industry and forever altered theway investors looked at bonds. Over forty years later, it remains astandard primer and reference among market professionals.Generations of practitioners, investors, and students have reliedon its lucid explanations, and readers needing to delve more deeplyhave found its explication of key mathematical relationships to beunmatched in clarity and ease of application.
This edition updates the widely respected classic with newmaterial from Martin L. Leibowitz. Along the way, it skillfullyexplains and makes sense of essential mathematical relationshipsthat are basic to an understanding of bonds, annuities, andloans--in fact, any securities or investments that involvecompound interest and the determination of present value for futurecash flows. The book also includes a new foreword.
* Contains information that is more instructive, important, anduseful than ever for mastering the crucial concepts of time, value,and return
* Combines the clear fixed-income insights found in the originaledition with completely new knowledge to help you navigate today'sdynamic market
* Includes over one hundred pages of new material on the role ofbonds within the total portfolio
In an era of calculators and computers, some of the importantunderlying principles covered here are not always graspedthoroughly by market participants. Investors, traders, and analystswho want to sharpen their ability to recall and apply thesefundamentals will find Inside the Yield Book the perfectresource.

Autoren/Hrsg.

Leibowitz, Martin L.

Homer, Sidney

Bova, Anthony

Kogelman, Stanley

Inhaltsverzeichnis

Preface to the 2013 Edition ix
Acknowledgments xi
PART I: DURATION TARGETING: A NEW LOOK AT BOND PORTFOLIOS(2013 EDITION) 1
Introduction 3
CHAPTER 1 Duration Targeting and the Trendline Model 9
CHAPTER 2 Volatility and Tracking Error 35
CHAPTER 3 Historical Convergence to Yield 51
CHAPTER 4 Barclays Index and Convergence to Yield 63
CHAPTER 5 Laddered Portfolio Convergence to Yield 81
Appendix: Path Return and Volatility 95
References 105
PART II: SOME TOPICS THAT DIDN'T MAKE IT INTO THE 1972EDITION (2004 EDITION) 107
Contents of the 2004 Edition 109
Foreword by Henry Kaufman 111
Preface to the 2004 Edition: A Historical Perspective 113
Technical Appendix to "Some Topics" 157
PART III: INSIDE THE YIELD BOOK (ORIGINAL EDITION)171
Preface to the 1972 Edition 173
Contents of the 1972 Edition 175
List of Tables 179
About the Authors 349
Index 353

Über Autor(innen)

MARTIN L. LEIBOWITZ is a managing director with MorganStanley Research Department's global strategy team. Prior to MorganStanley, he was vice chairman and chief investment officer ofTIAA-CREF. He is the author of numerous books, and over 200articles on various investment analysis topics, ten of which havewon the prestigious Graham and Dodd Award. Leibowitz has receivedthree of the CFA Institute's highest awards: the NicholasMolodovsky Award, the James R. Vertin Award, and the ProfessionalExcellence Award. In 1995, he became the first inductee into theFixed Income Analysts Society's Hall of Fame.
The late SIDNEY HOMER was the founder and general partnerin charge of Salomon Brothers' bond market research department.Best known for his pioneering and analytical studies of bond markethistory and relative values and the economic forces that createbond market trends, he is the author of several books includingA History of Interest Rates, The Bond Buyer's Primer, andThe Price of Money. He was inducted posthumously into theFixed Income Analysts Society's Hall of Fame in 1997.
ANTHONY BOVA is an Executive Director with Morgan StanleyEquity Research's Global Strategy team. He won Best Article in theninth annual Bernstein Fabozzi/Jacobs Levy Awards presented by theJournal of Portfolio Management for his coauthoring of"Gathering Implicit Alphas in a Beta World." In 2008, Mr. Bovacoauthored Modern Portfolio Management (Wiley), whichfocused on active equity strategies. In 2010, he coauthored TheEndowment Model of Investing (Wiley) with Martin Leibowitz andBrett Hammond of TIAA-CREF.
STANLEY KOGELMAN is President of Delft StrategicAdvisors, LLC, and a Principal at Advanced Portfolio Management.Prior to founding Delft Strategic Advisors, he served as a managingdirector at JPMorgan Private Bank and Goldman, Sachs & Co. Heis the author and coauthor of more than sixty articles on financeand received two Graham and Dodd Awards and published two booksjointly with Martin Leibowitz. In an earlier academic career, heheld senior mathematics faculty positions and wrote severalpioneering books on mathematics education, including Mind OverMath and The Only Math Book You'll Ever Need.