I came across a very interesting article which shows a picture with the drawdowns bondholders would have faced by investing in Fixed Income since 1919. enter image description here

However, the picture I get looks a bit different. I have assumed a bond with a 30yr maturity and rebalanced every month.

enter image description here

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.

Many thanks.

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.


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.