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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.

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