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

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Schmidhammer, C. Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates. Credit and Capital Markets – Kredit und Kapital, 51(3), 421-443. https://doi.org/10.3790/ccm.51.3.421
Schmidhammer, Christoph "Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates" Credit and Capital Markets – Kredit und Kapital 51.3, 2018, 421-443. https://doi.org/10.3790/ccm.51.3.421
Schmidhammer, Christoph (2018): Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates, in: Credit and Capital Markets – Kredit und Kapital, vol. 51, iss. 3, 421-443, [online] https://doi.org/10.3790/ccm.51.3.421

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

Schmidhammer, Christoph

Credit and Capital Markets – Kredit und Kapital, Vol. 51 (2018), Iss. 3 : pp. 421–443

1 Citations (CrossRef)

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Prof. Dr. Christoph Schmidhammer, Deutsche Bundesbank University of Applied Sciences, 57627 Hachenburg

Cited By

  1. Return Differences between DAX ETFs and the Benchmark DAX

    Schmidhammer, Christoph

    (2021)

    https://doi.org/10.2139/ssrn.3920156 [Citations: 0]

Abstract

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.