TIPS (-->Wiki)

An archive of reference topics and posts (no new posts can be added)
User avatar
Topic Author
Wiki Admin
Posts: 557
Joined: Tue Feb 20, 2007 12:41 pm

TIPS (-->Wiki)

Post by gbs »

An expanded version of this topic is available on The Bogleheads Wiki.

1. Title: Treasury Inflation-Protected Securities (TIPS)
by: TreasuryDirect
link: here
date: curent
Summary/Quote: Treasury Inflation-Protected Securities, or TIPS, provide protection against inflation. The principal of a TIPS increases with inflation and decreases with deflation, as measured by the Consumer Price Index. When a TIPS matures, you are paid the adjusted principal or original principal, whichever is greater.

2. Title: TIPS as an Asset Class
by: Peng Chen and Matt Terrien (Ibbotson Associates)
link: here
date: 11/1999
Summary/Quote: When designing investment portfolios within a long-term strategic asset allocation context, the authors maintain that TIPS (Treasury Inflation-Protection Securities) should be evaluated as a separate, distinct asset class.

3. Title: The Mystery of TIPS
by: Robert D. Arnott
link: here
date: 2003
Summary/Quote: (...)In other words, stocks can be seen as inflation-tracking "corporate TIPS consols" with an uncertain growth kicker averaging about 1 percent a year.

4. Title: Optimal asset allocation the contribution of inflation-linked bonds
by: Svenja Nehls-Ob駩 and J鲴me Teﬥtche
link: here
date: 03/16/2001
Summary/Quote: (...)From the investor?s point of view, this asset class is interesting, not only from the point of view of the intrinsic characteristics of these bonds, but also within the framework of an optimal allocation within a portfolio made up of equities and bonds.

5. Title: Time-Variation in Diversification Benefits of Commodity, REITs, and TIPS
by: Jing-zhi Huang and Zhaodong Zhong
link: here
date: 07/11/2006
Summary/Quote: (...)benefits of TIPS were significant before 2001 but have been decreasing gradually since then. (...)Our findings suggest that
diversification benefits of the three hot asset classes do vary substantially over time and that investors need to use appropriate correlation estimates in their asset allocation decisions to adjust for such time variation

6. Title: Asset Allocation with Inflation-Protected bonds
by: S.P. Kothari and Jay Shanken
link: here
Kothari's TIPS simulated returns can be found in: forum topic 281
[Thanks to Jeff for providing it]
date: 2004
Summary/Quote: (...)An examination of asset allocation among stocks, indexed bonds, conventional Treasuries, and riskless asset sugests that substantial weight should be given to indexed bonds in an efficient portfolio.

7. Title: Diversification Benefits of Treasury Inflation Protected Securities: An Empirical Puzzle
by: Abdullah Mamun and Nuttawat Visaltanachoti
link: here
date: 02/15/2006
Summary/Quote: (...) The results of conditional spanning tests show that adding TIPS to any combined portfolio of stocks, Treasury bonds, Treasury bills, corporate bonds, and real estate provides investors with diversification benefits.

8. Title: Inflation-Indexed Treasury Bonds: Cash Flows, Taxes and Simulated Returns
by: Douglas R. Kahl, Ph.D., and Jerry L. Stevens, Ph.D.
link: here
date: 04/1999
Summary/Quote: (...) The purpose of this paper is to evaluate the risk-and-return features of TIPS relative to conventional fixed-rate bonds.

9. Title: Inflation-indexed bonds: the dog that didn't bark
by: Richard W. Kopcke
link: here
date: 02/1999
Summary/Quote: (...) This article analyzes inflation-indexed bonds in general and TIPS in particular to better understand their modest appeal to investors.

10. Title: A Guide to Global Inflation-Linked Bonds
link: here
date: 01/2005
Summary/Quote: ILBs can offer a "win-win" situation for investors and for the governments that issue them.
Last edited by gbs on Mon Mar 05, 2007 5:19 pm, edited 1 time in total.
Posts: 594
Joined: Mon Feb 19, 2007 7:10 pm

Post by norm »

TIPS: Rates & Terms
by TreasuryDirect
link: here
User avatar
Posts: 5490
Joined: Wed Mar 14, 2007 2:54 am

Post by LH »

Features and Risks of Treasury Inflation Protection Securities
by: Pu Shen
Economic Review First quarter 1998
Indexed bonds are a safe, new class of assets that bear little risk except real interest rate risk. These bonds benefit not only investors who are interested in investing in safe assets by providing them safer bonds than the conventional Treasury bonds, but also investors who wish to separate inflation risk from real interest rate risk and thus manage risk more efficiently. Indexed bonds, however, are not entirely inflation risk free for most investors due to the effect of the tax code. In regard to the market risk, historical data suggest that the overall market risk for indexed bonds is smaller than that for comparable conventional bonds.
A nice overview of TIPS.

Return to the Table of Contents