Welcome to the 2018 AFS Annual Meeting, being held this year, in conjunction with FPA in Chicago!
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Tuesday, October 2 • 8:00am - 8:50am
A2a - How to Position a Retirement Investor’s Bond Portfolio in a Rising/Inverting Rate Environment (Work in progress)

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The majority of the recessions in the last 50 years followed an inverted yield curve. We investigate the best strategy for a retirement investor’s allocation to fixed income when facing an upward sloping yield curve and a prospect of Fed hikes. We consider the cases of an investor holding individual 2-year and 10-year bonds, holding short and long bond funds, and holding corporate bond funds. We apportion the performance of each strategy to the duration, convexity and maturity effects of the capital gains plus the coupon cash flow. We find that the standard prescription to shorten the duration is often wrong, especially so in the last two cases of bond funds.

Author(s): Robert Dubil


Robert Dubil

Professor, University of Utah

Tuesday October 2, 2018 8:00am - 8:50am CDT
Michigan 1B

Attendees (2)