Non parallel twist and shifts - Bullet or Ladder

In order to gain protection from non parallel twist and shifts - do we take bullet or Ladder? Initially I thought it was bullet but someone countered with non parallel shift won’t offer enough protection from Bullet.

Can anyone elaborate?

Is this a standalone portfolio, or is it meant to immunize a set of liabilities?

It is a portfolio.

Meaning standalone?

If so, a bullet structure is protected against twists; a ladder (and, for that matter, a barbell) is not.

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Thanks. The only explanation given is Ladder “diversifies”, not entirely sure I get their rationale.

It diversifies one’s interest rate risk by spreading it out amongst a number of maturities, rather than concentrating it at a single maturity (or a small set of maturities).

It does not explain how that better than bullet when non parallel twist are involved.

It might be, and it might not be.

A ladder is likely worse under a bear steepening or a bear flattening, but better under a bull steepening or a bull flattening.

thanks too

Correct my understanding here. I have doubts with your statement:

Barbell will be better at bull flattening (depending on duration but since invested at higher end, barbell will be good)

Bear steep: both will underperform but ladder will underperform less, so ladder is good to go.

Bear flattening: Barbell is better, since duration of investing in lower end bonds= less. = Underperform less

Let me know where I am getting it wrong.

Thanks for the help.

We’re comparing a bullet to a ladder, not a barbell.

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Oh yeah. My bad. Was confused. Sorry.

These are confusing times, even without studying for this blasted test.

Ftx and tech layoffs. Also not to mention my impending busy season.



Similar idea: year-end tax dodg . . . er . . . strategies. :wink:

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