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Abstract Both TIPS and Series I Bonds are adjusted for inflation, offering a real rate and an inflation adjustment. The inflation adjustment is the same on both securities, but the [...]

Abstract Series EE Savings Bonds have provided floating rate returns since 1982. They also contain valuable embedded options, including an early redemption option, a guaranteed minimum rate option, and a [...]

I.INTRODUCTION Diversification into global equity markets has been widely shown to improve the risk/return trade-off of a stock portfolio. Besides buying ADRs or foreign equities to accomplish international diversification, the [...]

This article discusses strategies for choosing between a single Treasury security and a duration-equivalent combination of two Treasury securities based on their relative returns and some measures of yield curve twist risk. Where the yield pick-up available from achieving duration from one set of securities rather than another is largely relative to the risk, the investor should strongly prefer this security choice to its alternative. This paper attempts to develop a convenient methodology for evaluation of duration-equivalent combinations. A methodology for evaluating yield curve twist risk consists of: measuring the probability distribution of the change in the yield spread between any two securities; and translating a one-standard-deviation twist into a required yield differential between the single security and the combination.

The article determines whether zero coupon bonds and other original issue discount bonds (OIDB) issued before July 1, 1982 may provide potential profit opportunities to investors. Non-taxable holders of such bonds may be able to sell them before maturity date at attractive prices, producing a much higher-than-expected rate of return over their holding period while taxable investors may be able to buy these bonds at prices that produce attractive after-tax returns. There is a difference between the linear accretion schedule used by the U.S. Internal Revenue Service (IRS) and the market accrual schedule and this difference can become profit opportunities. As an OIDB becomes seasoned, the discrepancy between the IRS benchmark price and the price to yield widens, which increases the potential capital gain of the second buyer. Since capital gains are valuable to taxable investors, taxable buyers who avoided the new OIDB will become interested in OIDB in the secondary market.

Focuses on the effect of treasury bill futures tax treatment on interest rates. Advantages of Internal Revenue Service ruling on futures market transactions; Conversion of short-term capital losses into ordinary losses; Comparison between the tax treatment of treasury-bill futures and treasury bills.