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
Wylie Tollette
is the head of client investment solutions within the Multi-Asset Solutions Group at Franklin Templeton Investments in San Mateo, CA
Laurence Siegel
is the Gary P. Brinson director of research for the CFA Institute Research Foundation in Charlottesville, VA
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In this issue
The Journal of Investing
Vol. 29, Issue 6
October 2020
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
- Info & Metrics
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