3. Ibid., p. 134; and Antti Ilmanen, “Does Duration Extension Enhance Long-Term Expected Returns?” Journal of Fixed Income 6, No. 2 (September 1996), pp. 23–36.

4. For more information, see Don H. Kim and Athanasios Orphanides, “The Bond Market Term Premium: What Is It, and How Can We Measure It?” BIS Quarterly Review (June 2007), pp. 27–40.