Yield bogeys

Brent William Ambrose, Arthur Warga

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The term "bogey" refers to a target portfolio. In the fixed-income world, it is usually a published index based on some comprehensive list of traded securities. Bogey yields are almost always calculated as the market-value-weighted average of individual component bond yields, but such averages often do a poor job of approximating the actual portfolio yield. Commonly published bogey features such as duration and convexity also are calculated using value-weighted averages, and these measures more nearly approximate the corresponding portfolio values. Thus, the various published bogey characteristics inherently are mismatched. The purpose of this article is to quantify deviations of market-value-weighted bogey yields from actual yield. In some periods, conventionally reported yields have deviated from actual yields by more than 90 basis points.

Original languageEnglish (US)
Pages (from-to)63-68
Number of pages6
JournalFinancial Analysts Journal
Volume52
Issue number5
DOIs
StatePublished - Jan 1 1996

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Market value
Convexity
Deviation
Fixed income
Bond yields

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Ambrose, Brent William ; Warga, Arthur. / Yield bogeys. In: Financial Analysts Journal. 1996 ; Vol. 52, No. 5. pp. 63-68.
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Yield bogeys. / Ambrose, Brent William; Warga, Arthur.

In: Financial Analysts Journal, Vol. 52, No. 5, 01.01.1996, p. 63-68.

Research output: Contribution to journalArticle

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