YIELD CURVE INVESTING: OPTIMIZING RISKADJUSTED RETURNS

Charles Corcoran

Global Journal of Business Research, 2013, vol. 7, issue 2, 95-102

Abstract: This paper investigates how recent changes in market interest rates have affected risk-adjusted returns. Returns are adjusted for duration, a measure of interest rate risk. Prior to the 2007 - 2008 rate decrease, one-year Treasuries offered the best risk/return tradeoff. As a result of the rate decrease, short rates dropped much more than longer rates, rendering the one-year Treasury less competitive. After 2008, the five and seven year Treasury maturities offer the best risk-adjusted returns.

Keywords: Yield Curve; Duration; Interest Rate Risk; Maturity; Mean Reversion; Risk-Adjusted Return (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/gjbres/gjbr-v7n2-2013/GJBR-V7N2-2013-8.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibf:gjbres:v:7:y:2013:i:2:p:95-102

Access Statistics for this article

Global Journal of Business Research is currently edited by Terrance Jalbert

More articles in Global Journal of Business Research from The Institute for Business and Finance Research
Bibliographic data for series maintained by Mercedes Jalbert ( this e-mail address is bad, please contact ).