Seeking Improved Yield: How to Make SEC Yield More Suitable for TIPS

Journal of Fixed Income Pub Date : 2022-02-05 DOI:10.3905/jfi.2022.1.131

J. Finnerty

引用次数: 0

Abstract

Inconsistent application of the SEC Yield formula to calculate TIPS bond mutual fund and TIPS bond ETF yields can lead to misleading yield reporting. This article recommends two adjustments to make the SEC Yield calculation more suitable for comparing TIPS bond fund performance. First, apply the break-even inflation rate to re-express each TIPS bond’s real yield as an equivalent nominal yield. Second, use the nominal yield to maturity to calculate 30 days’ interest income, but do not add the monthly inflation adjustment to the TIPS bond’s principal amount.

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寻求提高收益率:如何使美国证券交易委员会的收益率更适合TIPS

在计算TIPS债券共同基金和TIPS债券ETF收益率时，不一致的SEC收益率公式可能导致误导性的收益率报告。本文建议进行两项调整，使SEC收益率计算更适合于比较TIPS债券基金的表现。首先，应用盈亏平衡通胀率将每只通胀保值债券的实际收益率重新表示为等值的名义收益率。第二，使用名义到期收益率来计算30天的利息收入，但不将月度通胀调整添加到TIPS债券的本金金额中。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.