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Real Interest Rate Shocks and Portfolio Strategy

Eugene Podkaminer, Wylie Tollette and Laurence Siegel
The Journal of Investing October 2020, 29 (6) 23-41; DOI: https://doi.org/10.3905/joi.2020.1.148
Eugene Podkaminer
is the head of multi-asset research strategies within the Multi-Asset Solutions group at Franklin Templeton Investments in San Mateo, CA
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Wylie Tollette
is the head of client investment solutions within the Multi-Asset Solutions Group at Franklin Templeton Investments in San Mateo, CA
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Laurence Siegel
is the Gary P. Brinson director of research for the CFA Institute Research Foundation in Charlottesville, VA
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Article Information

vol. 29 no. 6 23-41
DOI 
https://doi.org/10.3905/joi.2020.1.148

Published By 
Pageant Media Ltd
Print ISSN 
1068-0896
Online ISSN 
2168-8613
History 
  • Published online October 1, 2020.

Article Versions

  • Latest version (August 13, 2020 - 03:10).
  • You are viewing the most recent version of this article.
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© 2020 Pageant Media Ltd

Author Information

  1. Eugene Podkaminer
    1. is the head of multi-asset research strategies within the Multi-Asset Solutions group at Franklin Templeton Investments in San Mateo, CA. (eugene{at}aya.yale.edu)
  2. Wylie Tollette
    1. is the head of client investment solutions within the Multi-Asset Solutions Group at Franklin Templeton Investments in San Mateo, CA. (wylie.tollette{at}franklintempleton.com)
  3. Laurence Siegel
    1. is the Gary P. Brinson director of research for the CFA Institute Research Foundation in Charlottesville, VA. (lbsiegel{at}uchicago.edu)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Investing: 29 (6)
The Journal of Investing
Vol. 29, Issue 6
October 2020
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Real Interest Rate Shocks and Portfolio Strategy
Eugene Podkaminer, Wylie Tollette, Laurence Siegel
The Journal of Investing Sep 2020, 29 (6) 23-41; DOI: 10.3905/joi.2020.1.148

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Real Interest Rate Shocks and Portfolio Strategy
Eugene Podkaminer, Wylie Tollette, Laurence Siegel
The Journal of Investing Sep 2020, 29 (6) 23-41; DOI: 10.3905/joi.2020.1.148
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  • Article
    • Abstract
    • NOMINAL AND REAL INTEREST RATES
    • THE CENTRAL ROLE OF LIABILITIES
    • PRINCIPAL FINDINGS
    • REAL INTEREST RATE SHOCKS AND THE MULTI-ASSET PORTFOLIO
    • BONDS HAVE TWO DURATIONS
    • THE VSMM
    • EXPLAINING REAL INTEREST RATES WITH THE VERY SIMPLE MACRO MODEL
    • LOOKING TOWARD THE FUTURE
    • REAL INTEREST RATE DURATION AND PORTFOLIO MANAGEMENT
    • IMPLICATIONS FOR FIXED-INCOME PORTFOLIOS AND FOR ASSET-LIABILITY MANAGEMENT
    • IMPLICATIONS FOR OTHER ASSET CLASSES
    • INTERNATIONAL ISSUES
    • CONCLUSION: CONSIDERATIONS FOR INVESTORS
    • ADDITIONAL READING
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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