I was reading some material online - seems to be a mixed bag of people who analyse yields vs maturity and yields vs duration.

To me, looking at yield vs maturity is slightly misleading - as, for a single maturity there are sometimes different issues with different coupons. These all trade at a different yield which (in the absence of financing advantages/structural factors/liquidity premia), I'd attribute to coupon differences, therefore, there is no real RV.

Instead, isn't looking at bonds of similar duration a 'cleaner' approach to identify RV (as obviously you are only comparing apples to apples here)? If so, what is the reason for people still looking at YTM vs maturity in the context of RV?


  • $\begingroup$ Quants look at duration, old-fashioned traders and analysts look at maturity, which is what they learned in school decades ago. $\endgroup$
    – nbbo2
    Commented Aug 6, 2023 at 18:18
  • $\begingroup$ ok. how do they adjust for the fact that the coupons between these issues are different when viewing like this? is their some back of the envelope formula/methodology to make same mat different coupon bonds comparable? [apologies if this is glaringly simple, I don't seem to be seeing how to adjust for the difference in coupons, lets assume no STRIPs market exists]. $\endgroup$
    – user67825
    Commented Aug 6, 2023 at 18:48
  • $\begingroup$ anyone have any guidance here? $\endgroup$
    – user67825
    Commented Aug 7, 2023 at 19:37
  • $\begingroup$ just replying to my own question - I guess one way is to use something like ASWs as a metric for RV as opposed to yields. Are there any others? $\endgroup$
    – user67825
    Commented Aug 11, 2023 at 22:03

1 Answer 1


There are many different ways in which you can find RV between bonds. ASW levels is definitely one, another is CAS. Traders use carry+roll to try to assess RV between bonds, which takes into account both the coupon and the relative attractiveness of one bond over the others. You are 100% correct that YTM vs Maturity is a simplistic approach that does not take into account important factors, but for the sake of a simpler identification people take a look at it. I would consider the YTM vs maturity as your simple graph chart, while the ytm vs duration would be more like the candle chart with much more useful information... but for a simpler "look" you prefer the simpler one. Hope that answers your questions.

  • $\begingroup$ thank you - thats helpful. For carry & roll, simplistically do you mean to say, that I could assess which of the bonds have better carry/roll profile to term as an overlay to yield spreads/asw/z-spreads analysis? in the bond mkt is it also common to adjust carry by volatility of the yld spread (i.e. (carry + roll) / volatility). Last thing, what does CAS stand for? (I'd guess "Carry and....") $\endgroup$
    – user67825
    Commented Aug 12, 2023 at 9:40
  • 1
    $\begingroup$ CAS = Coupon Adjusted Spread - it effectively adjusts the spread for the difference in the coupon across bonds. Carry and roll over vol is not standard, but most of the carry and roll analysis i see is on the same curve (same issue) so the vol is rather similar. But if you are looking at those metrics across various issuers it definitely makes sense to have some sort of vol measure as well. $\endgroup$
    – zarah
    Commented Aug 12, 2023 at 12:52
  • $\begingroup$ cool that again makes sense. i'd guess CAS is effectively measuring yields versus a benchmark such as Zero/Strip and then saying for eg: "1% coupon is approx worth this much of yield" and adjusting everything up/down by that metric to make equivalent (?) Done a bit of googling and can't find CAS (or coupon adjustments for bonds defined anywhere) - if you have a resource, that would be very handy. $\endgroup$
    – user67825
    Commented Aug 12, 2023 at 14:22
  • $\begingroup$ or do you mean something like z-sprd? $\endgroup$
    – user67825
    Commented Aug 12, 2023 at 14:31
  • $\begingroup$ We have some posts here about the two (CAS and z-spread) quant.stackexchange.com/questions/63671/… $\endgroup$
    – nbbo2
    Commented Aug 13, 2023 at 9:56

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