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A closer look at mortgage securities investments
- Article from:
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Daily Breeze
- Article date:
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July 14, 2003
- Author:
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Copyright informationCopyright 2003 Daily Breeze. Provided by ProQuest LLC. (Hide copyright information)
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There's simple _ and too simple.
That was the message from many investment professionals responding
to my recent column that discussed "A Quick Fixed-Income Fund Test."
The column offered a simple test of interest rate risk for a fixed-
income fund _ subtract its "duration" from its 30-day SEC yield.
Duration, was only half the story, the professionals said. If I
was going to write about mortgage securities and say they tested
well, I also needed to discuss convexity.
Sure.
While a Google search of the word will provide a horde of URLs on
the subject, the word doesn't even appear in the second edition of
the Dictionary of Finance and Investment Terms, published in 1987.
The concept is a ...