三级CFA考试SS9复习笔记.pdf

SS9 Management of Passive and Active Fixed Income Portfolio 讲师 石奇 CFA 日期 2011年3月19日 地点 上海 北京 深圳 讲师 石奇 CFA 日期 2011年3月19日 地点 上海 北京 深圳 上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院 2 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Topic in CFA Level III PERFORMANCE EVALUATION AND ATTRIBUTIONSS 17 PRIVATE WEALTH MANAGEMENTSS 4 PORTFOLIO MANAGEMENT FOR INSTITUTIONAL INVESTORSSS 5 CAPITAL MARKET EXPECTATIONS IN PORTFOLIO MANAGEMENTSS 6 ECONOMIC CONCEPTS FOR ASSET VALUATION IN PORTFOLIO MANAGEMENT SS 7 GLOBAL INVESTMENT PERFORMANCE STANDARDS EXECUTION OF PORTFOLIO DECISIONS MONITORING AND REBALANCING RISK MANAGEMENT APPLICATIONS OF DERIVATIVES RISK MANAGEMENT ALTERNATIVE INVESTMENTS FOR PORTFOLIO MANAGEMENT EQUITY PORTFOLIO MANAGEMENT PORTFOLIO MANAGEMENT OF GLOBAL BONDS AND FIXED INCOME DERIVATIVES MANAGEMENT OF PASSIVE AND ACTIVE FIXED INCOME PORTFOLIOS ASSET ALLOCATION BEHAVIORAL FINANCE ETHICS Reduce the risk associated with nonparallel shifts in the yield curve that usually take place in the early years Less expensive than cash flow matching Easier to understandAdvantages More expensive than multiple liability immunization Only against parallel rate shifts in case of nonparallel rate changes linear programming models should be used Only CF occurring prior to the liability may be used to meet it CF must exactly match the liabilities reinvestment risk is high Disadvantages Combination Horizon matching Multiple liability immunization Cash flow matching 34 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism SS 9 Management of Passive and Active Fixed Income Portfolio R29 Relative Value Methodologies for Global Credit Bond Portfolio Management Framework of SS9 35 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Value added Strategies Credit sector allocation e g investment grade markets v s high yield markets Intra sector allocation e g industrials financials utilities non corporates Issuer selection specific issuers Structural selection e g bullets amortizing puttable callable senior subordinated 36 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Relative Value Analysis Relative value analysis refers to the methodologies employed to sort bonds by various characteristics and value methods and then rank them within these categories by expected performance Classic relative value analysis can be viewed in two ways 1 Top down approach views on large scale economic developments are used as the basis for asset allocations to broadly defined corporate asset classes 2 Bottom up approach undervalued issues that are expected to outperform their peer groups are sought 37 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism The structure change is gradual and the effect on short run is less than long term strategy Market Structure Dynamics Medium term notes dominate Derivative becomes mainstream High yield corporate sector become accepted asset class Global origination becomes popular Eurobond market introduction of non US issuers to dollar market and birth of euro lead to proliferation of truly transactional credit portfolio When you expect rates to fall you expect new issues and refinances to increase Cyclical Changes Supply of and demand for new issues affects returns Increases decreases in new issues tend to decrease increase relative yields 2 Primary market analysis Study past bond reactions to macroeconomic changes to project future returns Consider coupons yield as well as potential price increases or decreases 1 Total return analysis Strategy Description Methodology Assessing Relative Value Methodologies 38 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1 Securities with embedded options will trade at premium prices due to their scarcity value 2 Longer durations a premium price because of the tendency toward intermediate maturities 3 Credit based derivatives will be increasingly used to take advantage of return and or diversification Product Structure In all but the high yield market intermediate term bullets dominate the corporate bond market Callable issues still dominate the high yield segment but this situation is expected to change as credit quality improves with lower interest financing and refinancing Identify issues sectors that you expect to increase in price from increased liquidity Liquidity drives bid ask prices and yields As liquidity increases demand increases As trading increases prices increase and yields decrease 3 Liquidity and trading analysis Assessing Relative Value Methodologies 39 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Portfolio constraints Story disagreement Buy and hold Seasonality Reasons for not trading 4 2 Secondary trading constraints 1 Yield spread pickup trades 2 Credit upside trades 3 Credit defense trades 4 New issue swaps 5 Sector rotation trades 6 Curve adjustment trades 7 Structure trades 8 Cash flow reinvestment Reasons for trading 4 1 Secondary trading rationales Assessing Relative Value Methodologies 40 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Determine which bond structures will perform best given your macro predictions Study the structure of bond issues bullets callable sinking funds put options 6 Structural analysis 1 Mean reversion analysis 2 Quality spread analysis 3 Percentage yield spread analysis Analyze the various spreads With increased rate volatility uncertainty spreads tend to increase and widen with maturity 5 Spread analysis Assessing Relative Value Methodologies 41 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Identify sectors firms expected to outperform Macro allocation is across sectors Micro allocation is within a sector 9 Asset allocation Sector analysis Identify credit upgrade and downgrade candidates Upgrades cause reduced yields and increased prices Downgrades cause increased yields and decreased prices 8 Credit analysis Corporate spread curves tend to change with the economic cycle i e narrow during upturns and widen during downturns 1 Study credit and yield curves 2 With increased rate volatility uncertainty spreads tend to increase and widen with maturity 7 Corporate curve analysis Assessing Relative Value Methodologies 42 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 1 Yield spread pickup trades are the most cited reason for secondary trades 2 Credit upside trades reflect managers expectations that an issuer will experience a quality upgrade that is not already reflected in the current spread 3 Credit defense trades reflect managers desires to reduce exposure to sectors where a credit downgrade is expected to occur 4 New issue swaps are trades into large new issues particularly on the run Treasuries that are often perceived to have superior liquidity Rationales for Secondary Bond Trades 43 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism 5 Sector rotation trades are undertaken to take advantage of sectors that are expected to outperform on a total return basis 6 Yield curve adjustment trades occur because of the desire to alter the duration of a portfolio to be favorably positioned with respect to anticipated yield curve changes 7 Structure trades refers to swaps into structures callable bullet and put that will have strong performance given an expected movement in volatility and yield curve shape 8 Cash flow reinvestment is a common reason for portfolio managers to trade in the secondary market particularly when primary issues are scarce Rationales for Secondary Bond Trades 44 45100 Contribution Breeds Professionalism100 Contribution Breeds Professionalism Trading constraints Story disagreement refers to the lack of consensus between buy side and sell side analysts and strategists which can lead to conflicting recommendations and uncertainty about optimal trading strategies Buy and hold represents an unwilling to sell and recognize an accounting loss or the desire to keep turnover low Seasonality refers to the slowing of trading at the ends of months quarters and ca