TY - JOUR T1 - Practical Applications of Return Dynamics of Index-Linked Bond Portfolios JF - Practical Applications SP - 1 LP - 4 DO - 10.3905/pa.2015.2.4.098 VL - 2 IS - 4 AU - Matti Koivu AU - Teemu Pennanen A2 - Goyal, Gauri Y1 - 2015/04/30 UR - https://pm-research.com/content/2/4/1.4.abstract N2 - Return Dynamics of Index-Linked Bond Portfolios Matti Koivu Teemu Pennanen Here’s an easy approach for institutional investors to describe future government bond returns—for both fixed-rate and index-linked bonds. In this Practical Applications report, TeemuPennanen , summarizes the findings of his article Return Dynamics of Index-Linked Bond Portfolios , which was co-written by MattiKoivu and published in the Fall 2014 issue of The Journal of Portfolio Management . The authors developed a simpler, more intuitive statistical model that explains almost 100% of monthly government bond returns across six markets in terms of just yield to maturity, or in some cases, yield to maturity and the underlying index. Pennanen is a professor of Financial Mathematics at Kings College London , and Koivu is Chief Risk Officer at Nordic Investment Bank in Helsinki. ER -