Inside the Yield Book (Hardcover, 3)

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 1972 EDITION (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