April 2013
Beginner to intermediate
368 pages
8h 22m
English
book
Inside the Yield Book: The Classic That Created the Science of Bond Analysis, 3rd Edition
by Martin L. Leibowitz, Anthony Bova, Stanley Kogelman, Sidney Homer
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Chapter 5
Laddered Portfolio Convergence to Yield
Introduction
In the preceding chapter, we showed that both the Barclays Government/Credit index and its government and corporate sectors exhibit convergence properties that are consistent with an implicit duration-targeting (DT) strategy. In this chapter, we analyze the so-called laddered portfolios that commonly are used by individual investors.
Buyers of laddered portfolios appreciate the simplicity of the structure and the predictability of the principal repayments. For example, a 10-year zero-coupon bond ladder would be composed of equally weighted and equally spaced bonds with maturities of 1 to 10 years. Because the duration of zero-coupon bonds is the same as the maturity, this laddered ...
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