Bond-Portfolio-Management-Strategies债券投资组合管理的策略PPT课件

1 AlternativeBondPortfolioStrategies 1 Passiveportfoliostrategies2 Activemanagementstrategies3 Matched fundingtechniques4 Contingentprocedure structuredactivemanagement 2 PassivePortfolioStrategies BuyandholdCanbemodifiedbytradingintomoredesirablepositionsIndexingMatchperformanceofaselectedbondindexPerformanceanalysisinvolvesexaminingtrackingerror 3 PassivePortfolioStrategies AdvantagestousingindexingstrategyHistoricalperformanceofactivemanagersReducedfeesIndexingmethodologiesFullparticipationStratifiedsampling cellularapproach OptimizationapproachVarianceminimization 4 DeterminantsofPriceVolatility 1 Bondpricesmoveinverselytobondyields interestrates 2 Foragivenchangeinyields longermaturitybondspostlargerpricechanges thusbondpricevolatilityisdirectlyrelatedtomaturity3 Pricevolatilityincreasesatadiminishingrateastermtomaturityincreases4 Pricemovementsresultingfromequalabsoluteincreasesordecreasesinyieldarenotsymmetrical5 Highercouponissuesshowsmallerpercentagepricefluctuationforagivenchangeinyield thusbondpricevolatilityisinverselyrelatedtocoupon 5 Duration Sincepricevolatilityofabondvariesinverselywithitscouponanddirectlywithitstermtomaturity itisnecessarytodeterminethebestcombinationofthesetwovariablestoachieveyourobjectiveAcompositemeasureconsideringbothcouponandmaturitywouldbebeneficial 6 Duration DevelopedbyFrederickR Macaulay 1938Where t timeperiodinwhichthecouponorprincipalpaymentoccursCt interestorprincipalpaymentthatoccursinperiodti yieldtomaturityonthebond 7 CharacteristicsofDuration DurationofabondwithcouponsisalwayslessthanitstermtomaturitybecausedurationgivesweighttotheseinterimpaymentsAzero couponbond sdurationequalsitsmaturityAninverserelationbetweendurationandcouponApositiverelationbetweentermtomaturityandduration butdurationincreasesatadecreasingratewithmaturityAninverserelationbetweenYTManddurationSinkingfundsandcallprovisionscanhaveadramaticeffectonabond sduration 8 DurationandPriceVolatility Anadjustedmeasureofdurationcanbeusedtoapproximatethepricevolatilityofabond Where m numberofpaymentsayearYTM nominalYTM 9 DurationandPriceVolatility BondpricemovementswillvaryproportionallywithmodifieddurationforsmallchangesinyieldsAnestimateofthepercentagechangeinbondpricesequalsthechangeinyieldtimemodifiedduration Where P changeinpriceforthebondP beginningpriceforthebondDmod themodifieddurationofthebond i yieldchangeinbasispointsdividedby100 10 DurationinYearsforBondsYielding6 withDifferentTerms 11 DurationandPriceVolatility LongestdurationsecuritygivesmaximumpricevariationActivemanagerwantstoadjustportfoliodurationtotakeadvantageofanticipatedyieldchangesExpectratedeclines parallelshiftinYC increaseaveragemodifieddurationtoexperiencemaximumpricevolatilityExpectrateincreases parallelshiftinYC decreaseaveragemodifieddurationtominimizepricedecline 12 Convexity ModifieddurationapproximatespricechangeforsmallchangesinyieldAccuracyofapproximationgetsworseassizeofyieldchangeincreasesWHY Modifieddurationassumesprice yieldrelationshipofbondislinearwheninactualityitisconvex Result MDoverestimatespricedeclinesandunderestimatespriceincreasesSoconvexityadjustmentshouldbemadetoestimateof pricechangeusingMD 13 Convexity ConvexityofbondsalsoaffectsrateatwhichpriceschangewhenyieldschangeNotsymmetricalchangeAsyieldsincrease therateatwhichpricesfallbecomesslowerAsyieldsdecrease therateatwhichpricesincreaseisfasterResult convexityisanattractivefeatureofabondinsomecasesPositiveconvexityNegativeconvexity 14 Convexity Themeasureofthecurvatureoftheprice yieldrelationshipSecondderivativeofthepricefunctionwithrespecttoyieldTellsushowmuchtheprice yieldcurvedeviatesfromthelinearapproximationwegetusingMD 15 ActiveManagementStrategies Potentialsourcesofreturnfromfixedincomeport CouponincomeCapitalgainReinvestmentincomeFactorsaffectingthesesources ChangesinlevelofinterestratesChangesinshapeofyieldcurveChangesinspreadsamongsectorsChangesinriskpremiumforonetypeofbond 16 ActiveManagementStrategies InterestrateexpectationsstrategyNeedtobeabletoaccuratelyforecastfuturelevelofinterestratesUsedurationtochangesensitivityofportfoliotofutureratechangesAlterportfoliodurationby Swappingorexchangingbondsinportfoliofornewbondstoachievetargetduration rateanticipationswaps Interestratefutures buyingfuturesincreasesdurationandsellingfuturesdecreasesduration 17 ActiveManagementStrategies YieldCurvestrategiesPositioningportfoliotocapitalizeonexpectedchangesinshapeofTreasuryYCParallelshiftNonparallelshiftBulletstrategiesBarbellstrategies 18 ActiveManagementStrategies LadderstrategiesRidingtheYCStrategiesresultindifferentperformancedependingonsizeandtypeofshift hardtogeneralizewhichgivesoptimalstrategyValuationanalysisIdentificationofmisvaluedsecuritiesCreditanalysis 19 High YieldBonds Spreadinyieldbetweensafeandjunkchangesovertime 20 ActiveManagementStrategies BondswapsPureyieldpickupswapSubstitutionswapIntermarketspreadswapTaxswap 21 MatchedFundingStrategies ClassicalimmunizationInterestrateriskInvestmenthorizonMaturitystrategyDurationstrategy Pricerisk Reinvestmentrisk 22 MaturityStrategyvs DurationStrategy YearCFReinv endvalCFendval180 0880 008080 00280 08166 4080166 40380 08259 7180259 71480 08360 4980360 49580 06462 1280462 12680 06596 8580596 85780 06684 0480684 0481080 061805 081120 641845 72 23 Immunization ParallelshiftinYCNetworthimmunizationBanks thriftsGapmanagementARMs 24 Immunization TargetdateimmunizationPensionfunds insurancecompaniesI