Year: 2018
Author: Schmidhammer, Christoph
Credit and Capital Markets – Kredit und Kapital, Vol. 51 (2018), Iss. 3 : pp. 421–443
Abstract
Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of low interest rates. Relying on the REX, Germany"s leading bond index, laddered cash flows are created, and maturity structures are systematically changed. A constructed rolling window of annual returns reveals that risk and return significantly increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show that long-term bond ladders significantly dominate short-term ladders. However, for upward movements in the average yield level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in maturity decisions as well as expectations of changes in the yield level.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.51.3.421
Credit and Capital Markets – Kredit und Kapital, Vol. 51 (2018), Iss. 3 : pp. 421–443
Published online: 2018-09
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 23
Keywords: Bond Ladders Return Risk Performance RORAC Sharpe Ratio Maturity Fixed-Income Portfolios Period of Low Interest Rates E43 G11 G12 G21
Author Details
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Return Differences between DAX ETFs and the Benchmark DAX
Schmidhammer, Christoph
(2021)
https://doi.org/10.2139/ssrn.3920156 [Citations: 0]
| Section Title | Page | Action | Price |
|---|---|---|---|
| Christoph Schmidhammer: Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates | 1 |