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BOND MATH: The Theory Behind the Formulas by Donald J. Smith

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Thoughts on Bond Portfolio Statistics

To be frank, I have more expertise at producing and thinking about individual bond and bond portfolio statistics than using them in practice. I've never built or managed an actual fixed-income portfolio. I offer some thoughts, but keep in mind that they come from someone looking at the world from an ivory tower. I'm going to imagine that I've been asked to manage, or at least advise, a large portfolio of investment-grade corporate bonds, comprised of both noncallables and callables.

Obviously, my first step is to look at a variety of descriptive statistics for the portfolio, including the various weighted averages for yield, duration, and convexity. I'd want to see breakdowns by credit rating and industry. ...

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