@article {Laipply67, author = {Stephen A. Laipply and Matthew Tucker}, title = {Fixed Income Index Fund Cash Flows, Yields, and Returns in Dynamic Yield Environments}, volume = {9}, number = {1}, pages = {67--83}, year = {2018}, doi = {10.3905/jii.2018.1.059}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article seeks to explain the relationship between the yields, cash flows, and total returns of fixed income index portfolios (mutual funds or ETFs) as observable duration-targeted bond portfolios. It builds on prior work by Leibowitz et al., but extends that work to include the impacts of positively and negatively sloped yield curves and fund minimum maturity rules.A framework is developed to explain the evolution of fund net asset values over time through changes in portfolio coupon levels, average bond prices and face amount outstanding across varying yield environments. This framework is then applied to specific case studies of fixed income ETFs and bond indexes to develop a more complete attribution of portfolio total returns over time.TOPICS: Fixed income and structured finance, exchange-traded funds and applications}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/9/1/67}, eprint = {https://jii.pm-research.com/content/9/1/67.full.pdf}, journal = {The Journal of Beta Investment Strategies} }