Praise for the Second Edition of Inside the Yield Book
The seminal book on bond analysis, now with new work on Duration Targeting
"It′s pure pleasure to revisit this innovative and authoritative bedrock of modern bond analysis . . . the description of Wall Street′s original ′rocket scientist′ encountering Salomon Brothers′ trading floor is worth the price of admission."
John Lipsky, Chief Economist, JPMorgan Chase
"This book transformed the markets′ understanding of bonds. The new material in this expanded edition extends those insights to equities and other investments and the investment world is indebted anew to Sidney Homer and Martin Leibowitz."
Frank J. Fabozzi, PhD, CFA, editor of the Journal of Portfolio Management and Professor in the Practice of Finance at Yale University′s School of Management
"Inside the Yield Book may not be where it all began, but it certainly is where it all began to be understood. The clarity and elegance of language and thought is startling. The new material will not disappoint. This book will live forever!"
Jack R. Meyer, President and CEO, Harvard Management Company
"Every participant in the fixed–income market needs to read and then reread this authoritative work."
Laurence Fink, Chairman and CEO, BlackRock
"The new edition gives us the best of both worlds: the complete classic that helped launch a golden age for fixed–income investing, and completely new sections that show how relevant and essential its wisdom remains today."
Lewis S. Ranieri, Chairman, Hyperion Partners
PART I: DURATION TARGETING: A NEW LOOK AT BOND PORTFOLIOS (2013 EDITION) 1
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
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
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