Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates

Artikel

Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of low interest rates. Relying on the REX, Germany"s leading bond index, laddered cash flows are created, and maturity structures are systematically changed. A constructed rolling window of annual returns reveals that risk and return significantly increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show that long-term bond ladders significantly dominate short-term ladders. However, for upward movements in the average yield level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in maturity decisions as well as expectations of changes in the yield level.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 51 ; Year: 2018 ; Issue: 3 ; Pages: 421-443

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Maturity ; Fixed-Income Portfolios ; Period of Low Interest Rates ; Bond Ladders ; Return ; Risk ; Performance ; RORAC ; Sharpe Ratio

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schmidhammer, Christoph
• Event: Veröffentlichung
• (who): Duncker & Humblot
• (where): Berlin
• (when): 2018

Further information

• DOI: doi:10.3790/ccm.51.3.421
• Last update: 10.03.2025, 11:43 AM CET