Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests

摘要: Dramatic increases in interest rate levels and volatility since the early 1970s have renewed fixed-income securities motivated much study of appropriate measure risk for bonds. Many authors expanded on Macaulay's (1938) concept duration as a surrogate measurement developed variety new measures duration. Numerous commercial duration-based immunization programs are now available purporting to explain returns, provide good risk, protect portfolios from volatile rates (e.g., Leibowitz 1979; Weinberger 1981). This paper tests explanatory power number recently proposed measures. We show that despite flood articles claiming superiority particular duration, studied were virtually indistinguishable empirically. In fact, none them did better than empirically investigates seven their role explaining price caused by movements, is, basis risk. The data analysis does not support important testable implications various durations All fail linearity single factor which advantages supposed derive. Fixed-income performance comparisons strategies based these been worthwhile.