Barbell-Strategies – revisited

The main purpose of this paper is to give a thorough explanation of three different Barbell strategies; Standard Barbells, Butterfly Barbells and Box Barbells. This paper extends the results in “Barbells – A Nordic Perspective” and “Barbells, Butterflies and Boxes – Three Barbell strategies”.

Apart from looking at how each strategy is defined and their structure we are focusing on the differences and relations that exist between the three Barbell strategies. Both in connection with the risk in each kind of Barbell and the pick-up implied from each strategy.

The main contribution of this paper is a reformulation of the Box Barbell strategy, a thorough discussion at how Barbell pick-ups should be calculated and a detalied analysis of the relationsship between the risk and return of different Barbell stategies. Furhermore we analyse the relationship between the pick-up implied from the three Barbell strategies and their connection to a decomposition of the yield changes.

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