Schmidhammer, Christoph - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 3, pp. 421-443
Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of … increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show … level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in …