However, the picture I get looks a bit different. I have assumed a bond with a 30yr maturity and rebalanced every month.
The data is based on the Moody's seasoned AAA yield https://fred.stlouisfed.org/series/AAA .
I do not understand how they computed the drawdowns. I thought it was the inverse formula of duration, but there is no duration information.
Could you please help with this? Would be helpful if you could provide an excel snapshot/ any code.
This is the link to the article https://www.cmegroup.com/education/files/when-bonds-fall-how-risky-are-bonds-if-interest-rates-rise.pdf.