Handbook of Inflation Indexed Bonds

Handbook of Inflation Indexed Bonds provides complete coverage of inflation protection bonds beginning with their first U.S. issuance in 1997. Five, in-depth sections detail: strategic asset allocation; mechanics, valuation, and risk monitoring; global environment; issuers; and investors.

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale Universitys School of Management.

Contributing Authors

v

Foreword

vi

Wiliam H. Gross

Introduction

1

(2)

John Brynjolfsson

Frank J. Fabozzi

SECTION I: STRATEGIC ASSET ALLOCATION

3

(84)

Musings About Real Asset Allocation

5

(6)

John Brynjolfsson

Shifting the Efficient Frontier with Inflation-Indexed Bonds

11

(10)

Raymond T. Dalio

Daniel S. Bernstein

Using Inflation-Indexed Securities for Retirement Savings and Income: The TIAA-CREF Experience

21

(22)

P. Brett Hammond

Recognizing and Achieving Strategic Investment Goals

43

(20)

Barbara J. Moore

Inflation Hedging in a Low-Inflation World: The Plan Sponsor's Rationale

63

(1)

Laurence B. Siegel

Asset Allocation with TIPS

63

(24)

John Brynjolfsson

Edward P. Rennie

SECTION II: MECHANICS, VALUATION, AND RISK MONITORING

87

(96)

Quantitative Approaches to Inflation-Indexed Bonds

89

(28)

Wesley Phoa

Valuing and Trading TIPS

117

(24)

Gerald Lucas

Timothy Quek

Understanding the CPI

141

(16)

William Kan

Understanding the Inflation Risk Premium

157

(26)

P. Brett Hammond

Andrew C. Fairbanks

J. Benson Durham

SECTION III: GLOBAL ENVIRONMENT: PAST AND PRESENT

183

The U.K. Experience

185

(10)

Mark Deacon

The Austratian Experience

195

(10)

Michael Chadwick

The Canadian Experience

205

(12)

Karim Basta

Martin Klaponski

The U.S. Experience

217

(12)

Roger L. Anderson

The French Experience

229

Ciaran O'Hagan

SECTION IV: ISSUERS

23?

(255)

Arguments for Issuing Linkers

239

(10)

William T. Lloyd

Corporate and Agency Inflation-Linked Securities

249

(6)

Andrew Rosen

Michael Schumacher

John Casaudoumecq

SECTION V: INVESTORS

255

The Individual Investor and Inflation-Indexed Bonds: Tax Issues and Retirement Planning

257

Christopher F. Kinney

Inflation Indexed Products for Stable Value Funds

269

David B. LeRoux

Victor A. Gallo

Inflation Protection Bonds and Endowment or Foundation Investment Policy

279

William A. Schneider

Foundation Applications

285

Alan Heuberger

Index

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Handbook of Inflation Indexed Bonds

Summary

Author Biography

Table of Contents

Supplemental Materials