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LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK Reilly KeithC Brown Chapter20 1 Chapter20 BondPortfolioManagementStrategies Questionstobeanswered Whatarethefourmajorbondportfoliomanagementstrategies Whatarethetwospecificpassiveportfoliomanagementstrategiesavailable 2 Chapter20 BondPortfolioManagementStrategies Whatarethefivealternativestrategiesavailablewithintheactivemanagementcategory Whatismeantbycare plusbondmanagementandwhataresomeplusstrategies Whatismeantbymatched fundingtechniques andwhatarethefourspecificstrategiesavailableinthiscategory 3 Chapter20 BondPortfolioManagementStrategies Whatarethemajorcontingentprocedurestrategiesthatarealsoreferredtoasstructuredactivemanagementstrategies Whataretheimplicationsofcapitalmarkettheoryforthoseinvolvedinbondportfoliomanagement 4 Chapter20 BondPortfolioManagementStrategies Whatistheevidenceontheefficientmarkethypothesisasitrelatestobondmarkets Whataretheimplicationsofefficientmarketstudiesforbondportfoliomanagers 5 AlternativeBondPortfolioStrategies 1 Passiveportfoliostrategies2 Activemanagementstrategies3 Matched fundingtechniques4 Contingentprocedure structuredactivemanagement 6 PassivePortfolioStrategies BuyandholdAmanagerselectsaportfolioofbondsbasedontheobjectivesandconstraintsoftheclientwiththeintentofholdingthesebondstomaturityIndexingTheobjectiveistoconstructaportfolioofbondsthatwillequaltheperformanceofaspecifiedbondindex 7 ActiveManagementStrategies Interest rateanticipationRiskystrategyrelyingonuncertainforecastsLadderstrategystaggersmaturitiesBarbellstrategysplitsfundsbetweenshortdurationandlongdurationsecuritiesValuationanalysisTheportfoliomanagerattemptstoselectbondsbasedontheirintrinsicvalueCreditanalysisInvolvesdetailedanalysisofthebondissuertodetermineexpectedchangesinitsdefaultrisk 8 ActiveManagementStrategies YieldspreadanalysisAssumesnormalrelationshipsexistbetweentheyieldsforbondsinalternativesectorsBondswapsInvolveliquidatingacurrentpositionandsimultaneouslybuyingadifferentissueinitsplacewithsimilarattributesbuthavingachanceforimprovedreturn 9 BondSwaps PureYieldPickupSwapSubstitutionSwapTaxSwapSwapstrategiesandmarket efficiencyBondswapsbytheirnaturesuggestmarketinefficiency 10 AGlobalFixed IncomeInvestmentStrategy FactorstoconsiderThelocaleconomyineachcountryincludingtheeffectsofdomesticandinternationaldemandTheimpactoftotaldemandanddomesticmonetarypolicyoninflationandinterestratesTheeffectoftheeconomy inflation andinterestratesontheexchangeratesamongcountries 11 Core PlusBondPortfolioManagement Thisinvolveshavingasignificant core partoftheportfoliomanagedpassivelyinawidelyrecognizedsectorsuchastheU S AggregateSectorortheU S Government Corporatesector Therestoftheportfoliowouldbemanagedactivelyinoneorseveraladditional plus sectors whereitisfeltthatthereisahigherprobabilityofachievingpositiveabnormalratesofreturnbecauseofpotentialinefficiencies 12 Matched FundingTechniques DedicatedPortfoliosDedicationreferstobondportfoliomanagementtechniquesthatareusedtoserviceaprescribedsetofliabilitiesPureCash MatchedDedicatedPortfoliosMostconservativestrategyDedicationWithReinvestmentCashflowsdonothavetoexactlymatchtheliabilitystream 13 Matched FundingTechniques ImmunizationStrategiesAportfoliomanager afterclientconsultation maydecidethattheoptimalstrategyistoimmunizetheportfoliofrominterestratechangesTheimmunizationtechniquesattempttoderiveaspecifiedrateofreturnduringagiveninvestmenthorizonregardlessofwhathappenstomarketinterestrates 14 ImmunizationStrategies ComponentsofInterestRateRiskPriceRiskCouponReinvestmentRisk 15 ClassicalImmunization ImmunizationisneitherasimplenorapassivestrategyAnimmunizedportfoliorequiresfrequentrebalancingbecausethemodifieddurationoftheportfolioalwaysshouldbeequaltotheremainingtimehorizon exceptinthecaseofthezero couponbond 16 ClassicalImmunization DurationcharacteristicsDurationdeclinesmoreslowlythantermtomaturity assumingnochangeinmarketinterestratesDurationchangeswithachangeinmarketinterestratesThereisnotalwaysaparallelshiftoftheyieldcurveBondswithaspecificdurationmaynotbeavailableatanacceptableprice 17 Matched FundingTechniques HorizonmatchingCombinationofcash matchingdedicationandimmunizationImportantdecisionisthelengthofthehorizonperiod 18 ContingentProcedures AformofstructuredactivemanagementConstrainsthemanagerifunsuccessfulContingentimmunizationdurationofportfoliomustbemaintainedatthehorizonvaluecushionspreadispotentialreturnbelowcurrentmarketsafetymargintriggerpoint 19 ImplicationsofCapitalMarketTheoryandtheEMHonBondPortfolioManagement BondsandTotalPortfolioTheoryBonds
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