Newly Published Fixed-Income Book

https://www.amazon.com/INTERPRETING-YIELD-MATURITY-MEASURE-RELATIVE-ebook/dp/B08TB393R2/ref=sr_1_1?dchild=1&keywords=interpreting+yield+to+maturity+as+a+measure+of+relative+value+and+risk&qid=1611437212&sr=8-1

Yield to maturity is one of the most widely cited metrics of value in the fixed income markets. It is also perhaps the most misunderstood. Yield to maturity, and its close relative yield to call, is usually described as a measure of return. And while that may indeed be the intended meaning when used by speakers or authors, future returns is not what either yield actually quantifies. Whether calculated to maturity or some call date, the only value precisely quantified by a bond’s yield is its current market value. Both yields are a bond’s market price re-expressed as an interest rate.

Whether encountered in print or digital media, or heard in conversation or formal presentation, rate of return is the meaning usually implied, if not explicitly ascribed, to yield to maturity. Even the relatively small subset of sources that correctly note that yield is really a quantification of the market price seldom do anything more than assert that association. Indeed, I have never encountered an author or speaker that attempted to explain exactly how to interpret yield as an expression of value or how it quantifies the relative value of one bond versus another. Even in the minority of sources that properly identify yield as a bond’s price expressed as an interest rate, yield to maturity is exclusively discussed in terms of an expected or forecasted return.

Insiders’ Guide to Interpreting Yield as an Measure of Relative Value and Risk is my small contribution towards rectifying the current state of affairs. This e-book is adapted from a chapter by the same title in Insider’s Guide to Bond Math.