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Financial Analysts Journal Volume 71, 2015 - Issue 2
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Fixed Income

Bond Ladders and Rolling Yield Convergence

Martin L. Leibowitz Martin L. Leibowitz is managing director at Morgan Stanley Incorporated, New York City.
,
Anthony Bova Anthony Bova, CFA, is executive director at Morgan Stanley Incorporated, New York City.
, CFA &
Stanley Kogelman Stanley Kogelman is president and founder of Delft Strategic Advisors, LLC, Mount Kisco, New York.
Pages 32-46 | Published online: 28 Dec 2018

References

  • Kalotay, Andrew. 2014. “The Interest Rate Sensitivity of Tax-Exempt Bonds under Tax-Neutral Valuation.” Journal of Investment Management, vol. 12, no. 1 (First Quarter): 62–68.
  • Kalotay, Andrew, and C. Douglas Howard. 2014. “The Tax Option in Municipal Bonds.” Journal of Portfolio Management, vol. 40, no. 2 (Winter): 94–102 https://doi.org/10.3905/jpm.2014.40.2.094.
  • Langetieg, Terence C., Martin L. Leibowitz, and Stanley Kogelman. 1990. “Duration Targeting and the Management of Multiperiod Returns.” Financial Analysts Journal, vol. 46, no. 5 (September/October): 35–45 https://doi.org/10.2469/faj.v46.n5.35.
  • Leibowitz, Martin L.. 1981. “Volatility in Tax-Exempt Bonds: A Theoretical Model.” Financial Analysts Journal, vol. 37, no. 6 (November/December): 31–52 https://doi.org/10.2469/faj.v37.n6.31.
  • Leibowitz, Martin L., and Anthony Bova. 2011. “Rolling Yields under Parallel Shifts.” Morgan Stanley Research (31 October).
  • Leibowitz, Martin L., and Anthony Bova. 2012a. “Bond Ladders as Duration Targeted Portfolios.” Morgan Stanley Research (19 November).
  • Leibowitz, Martin L., and Anthony Bova. 2012b. “Duration Targeting: A New Look at Bond Portfolios.” Morgan Stanley Research (18 December).
  • Leibowitz, Martin L., and Anthony Bova. 2013a. “Muni Index Return Convergence to Rolling Yield.” Morgan Stanley Research (7 November).
  • Leibowitz, Martin L., and Anthony Bova. 2013b. “Bond Ladders and Top-Rung Convergence.” Morgan Stanley Research (11 December).
  • Leibowitz, Martin L., Anthony Bova, and Stanley Kogelman. 2014. “Long-Term Bond Returns under Duration Targeting.” Financial Analysts Journal, vol. 70, no. 1 (January/February): 31–51 https://doi.org/10.2469/faj.v70.n1.5.
  • Leibowitz, Martin L., Sidney Homer, Anthony Bova, and Stanley Kogelman. 2013. Inside the Yield Book3rd ed.Hoboken, NJ: John Wiley & Sons.

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