yield duration and convexity
Educational articles in this subcategory.
Glossary: Yield and Duration Metrics
# Glossary: Yield and Duration Metrics This glossary defines the essential yield, duration, and convexity terms every fixed income investor needs to ...
Stress Testing Portfolios for Rate Shocks
# Stress Testing Portfolios for Rate Shocks Most bond investors discover their true risk exposure the hard way. The 2022 drawdown taught this lesson ...
Forward Rate Derivation from the Curve
**Forward rates are implied future interest rates extracted from today's spot curve.** They answer a specific question: "What short-term rate does the...
Barbell vs. Bullet Strategies Under Curve Shifts
**Two portfolios with identical duration can produce wildly different returns.** The barbell strategy (concentrating in short and long maturities) and...
Breakeven Inflation and Real Yields
**The Treasury market constantly broadcasts an inflation forecast.** The 10-year breakeven inflation rate currently sits at **2.22%**, while the 10-ye...
Interpreting Steepeners and Flatteners
**Steepeners and flatteners are curve bets, not duration bets.** You're wagering on how the gap between short and long rates will change, not whether ...
Reporting Duration and Convexity in Fact Sheets
**Fact sheets lie by omission.** In 2022, bond funds dutifully reported their duration figures—but most investors never connected those numbers to act...
Using Futures and Swaps to Adjust Duration
**Duration adjustment without selling bonds is the mark of an efficient fixed income manager.** Futures overlays and interest rate swaps let you chang...
Understanding Treasury Yield Curve Shapes
**The yield curve has predicted every U.S. recession since World War II.** When the 2-year/10-year spread inverted in July 2022, it stayed negative fo...
Modified Duration and Price Sensitivity
**Duration errors cost real money.** In 2022, the Bloomberg U.S. Aggregate Bond Index carried a duration of **6.0 years** versus its long-term average...
Duration Matching for Liability Immunization
**Duration matching is the core discipline of liability-driven investing.** When assets and liabilities have the same duration, parallel interest rate...
Effective Duration for Callable Bonds
**Using modified duration on callable bonds can miscalculate your hedges by 20-40%.** The problem: modified duration assumes fixed cash flows, but cal...
Dollar Duration and DV01 Basics
**Duration tells you percentage sensitivity. DV01 tells you dollar sensitivity.** That distinction matters the moment you manage real money. A portfol...
Nominal Yield, Current Yield, and Yield to Maturity
--- title: "Nominal Yield, Current Yield, and Yield to Maturity" description: "Learn when to use nominal yield, current yield, and YTM for bond comp...
Yield to Call and Yield to Worst
--- title: "Yield to Call and Yield to Worst" description: "Learn why yield to worst is your true planning yield for callable bonds, and how to avoi...
Macaulay Duration Calculation Walkthrough
# Macaulay Duration Calculation Walkthrough **Summary:** Duration tells you the weighted average time until you receive a bond's cash flows. This w...
Convexity: Concept and Calculation
--- title: "Convexity: Concept and Calculation" description: "Master convexity to improve bond price estimates beyond duration. Learn the calculatio...
Spot Curves vs. Par Curves
--- title: "Spot Curves vs. Par Curves" description: "Master the difference between spot rates and par yields. Learn bootstrapping mechanics, pricin...