Skip to content

Approximate Holding Period Return for a Bond using Effective Duration (formula)

January 28, 2018

Total Return ≈ -1 * Ending Effective Duration * (Ending yield to maturity – Beginning yield to maturity) + Beginning yield to maturity

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: