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Article

Bond Portfolio Holding Period Return Decomposition

Robert Brooks and Kate Upton
The Journal of Investing Summer 2017, 26 (2) 78-90; DOI: https://doi.org/10.3905/joi.2017.26.2.078
Robert Brooks
is a professor in the Department of Finance at the University of Alabama in Tuscaloosa, AL
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Kate Upton
is an assistant professor of finance in the Department of Finance at Elon University in Elon, NC
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Abstract

Bond portfolio holding period returns are decomposed into four macro components: horizon, spot rate, spread, and interaction. The spot rate and spread could be decomposed further based on modified duration, convexity, and cross-convexity, each of which could be further decomposed into three subcomponents tied to level, slope, and curvature. Applying a parsimonious version of this model to the Morningstar universe of bond funds explains approximately 56% of the variability of the returns. Thus, we provide a powerful approach to attribution of bond fund performance, aiding the many different stakeholders in their efforts to improve their decision-making process.

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The Journal of Investing: 26 (2)
The Journal of Investing
Vol. 26, Issue 2
Summer 2017
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Bond Portfolio Holding Period Return Decomposition
Robert Brooks, Kate Upton
The Journal of Investing May 2017, 26 (2) 78-90; DOI: 10.3905/joi.2017.26.2.078

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Bond Portfolio Holding Period Return Decomposition
Robert Brooks, Kate Upton
The Journal of Investing May 2017, 26 (2) 78-90; DOI: 10.3905/joi.2017.26.2.078
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  • Article
    • Abstract
    • BOND RISK MEASURES, BOND RETURNS, AND THE TERM STRUCTURE
    • LSC BOND FUND RETURN DECOMPOSITION
    • A CONCEPTUAL ILLUSTRATION
    • APPLICATION OF THE LSC MODEL DECOMPOSITION
    • RESULTS
    • SUMMARY
    • ENDNOTES
    • REFERENCES
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