Skip to content

Decomposing Expected Fixed-Income Returns (formula)

January 20, 2018

E(R) ≈ Yield Income

+ Rolldown return

+ E(Change in price based on investor’s views of yields and yield spreads)

– E(Credit losses)

+E(Currency gains or losses)

Advertisements

From → Asset Valuation

Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.

%d bloggers like this: