Schmidhammer, Christoph - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 3, pp. 421-443
increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show …Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of … structures are systematically changed. A constructed rolling window of annual returns reveals that risk and return significantly …