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Welcome to the new world

Welcome to the new world of investing. Newspapers, think-tanks, regulators and investors at large have been fretting about this new era of return-free risk in fixed income: with risk-free government bonds trading with negative to low yields-to-maturity, it’s easy to figure out the whole bond market (with few exceptions in

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Posted in Economics
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Duration matching and bond selection

READ a book about fixed income investment management and you’ll be baffled.

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Posted in Economics
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“Babcock duration”: a weighted average of two factors

Lately, I have had to explain what Babcock duration is. Further to saying it’s an alternative gauge of duration to Macaulay it simply is a weighted average of two factors [1]: (maturity) and The outright formula [2], the weighted average, is: . There’s a zero coupon with n years of

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Posted in Economics
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