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More About This Title Inside the Yield Book, Third Edition: The ClassicThat Created the Science of Bond Analysis
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First published in 1972, Inside the Yield Book revolutionized the fixed-income industry and forever altered the way investors looked at bonds. Over forty years later, it remains a standard primer and reference among market professionals. Generations of practitioners, investors, and students have relied on its lucid explanations, and readers needing to delve more deeply have found its explication of key mathematical relationships to be unmatched in clarity and ease of application.
This edition updates the widely respected classic with new material from Martin L. Leibowitz. Along the way, it skillfully explains and makes sense of essential mathematical relationships that are basic to an understanding of bonds, annuities, and loans—in fact, any securities or investments that involve compound interest and the determination of present value for future cash flows. The book also includes a new foreword.
- Contains information that is more instructive, important, and useful than ever for mastering the crucial concepts of time, value, and return
- Combines the clear fixed-income insights found in the original edition with completely new knowledge to help you navigate today's dynamic market
- Includes over one hundred pages of new material on the role of bonds within the total portfolio
In an era of calculators and computers, some of the important underlying principles covered here are not always grasped thoroughly by market participants. Investors, traders, and analysts who want to sharpen their ability to recall and apply these fundamentals will find Inside the Yield Book the perfect resource.
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MARTIN L. LEIBOWITZ is a managing director with Morgan Stanley Research Department's global strategy team. Prior to Morgan Stanley, he was vice chairman and chief investment officer of TIAA-CREF. He is the author of numerous books, and over 200 articles on various investment analysis topics, ten of which have won the prestigious Graham and Dodd Award. Leibowitz has received three of the CFA Institute's highest awards: the Nicholas Molodovsky Award, the James R. Vertin Award, and the Professional Excellence Award. In 1995, he became the first inductee into the Fixed Income Analysts Society's Hall of Fame.
The late SIDNEY HOMER was the founder and general partner in charge of Salomon Brothers' bond market research department. Best known for his pioneering and analytical studies of bond market history and relative values and the economic forces that create bond market trends, he is the author of several books including A History of Interest Rates, The Bond Buyer's Primer, and The Price of Money. He was inducted posthumously into the Fixed Income Analysts Society's Hall of Fame in 1997.
ANTHONY BOVA is an Executive Director with Morgan Stanley Equity Research's Global Strategy team. He won Best Article in the ninth annual Bernstein Fabozzi/Jacobs Levy Awards presented by the Journal of Portfolio Management for his coauthoring of "Gathering Implicit Alphas in a Beta World." In 2008, Mr. Bova coauthored Modern Portfolio Management (Wiley), which focused on active equity strategies. In 2010, he coauthored The Endowment Model of Investing (Wiley) with Martin Leibowitz and Brett Hammond of TIAA-CREF.
STANLEY KOGELMAN is President of Delft Strategic Advisors, LLC, and a Principal at Advanced Portfolio Management. Prior to founding Delft Strategic Advisors, he served as a managing director at JPMorgan Private Bank and Goldman, Sachs & Co. He is the author and coauthor of more than sixty articles on finance and received two Graham and Dodd Awards and published two books jointly with Martin Leibowitz. In an earlier academic career, he held senior mathematics faculty positions and wrote several pioneering books on mathematics education, including Mind Over Math and The Only Math Book You'll Ever Need.
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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
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“The third edition of Inside the Yield Book builds on the previous editions with valuable insights into duration targeting. The authors convey their mathematically elegant findings with the same clarity and accessibility that characterized the writing of Leibowitz and Homer more than 40 years ago, before abstruse formulas began to permeate fixed-income analysis.”
—CFA Institute Book Review
