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1、CTCOTqos一 ftw一 m&友寄aIW+灵l8吟 O-皿回暮妈滕)I!00一uE6euBIl -lodEOUUTPX1ZDecomposeexpectedreturnsAExaminingthesecomponentsleadstoabetterunderstandingofthedrivingforcesbehindexpectedreturns.AExpectedreturnsE(R)canbedecomposed.E(R)yieldincome+rolldownreturn+E(changeinpricebasedoninvestorsviewyieldsandyieldsprea
2、ds)-E(creditlosses)+E(currencygainsorlosses)/Onlyapproximately;/Betterunderstandtheirowninvestmentpositions;/Appliedtoanannualperiod;/Notreflecttaxes.YieldincomeAYieldincomeistheincomethataninvestorreceivesfromcouponpaymentsrelativetothebod,spriceaswellasinterestonreinvestmentincome.annualcouponpaym
3、entYieldincome=currentbondprice/Annualcouponpayment=coupon+reinvestmentincome/Whenreinvestmentincome=0zyieldincome=currentyieldIl鹿围三m6ZunwUMOP=O;oucpusajyfoaA三lco-PUoBM-UuaaqHE?IoP-ON8PUO8IPBOydPUOguozyo-A6JL!lJ03ussxsc3c三3u-Jd6eu：MdS-PUoq一-LU-0一B1三0NBu-EnsseQSBaUBPEOIUJrLSBBNSp一AII一AUMOP6=0、PUoq一Lu
4、o*sIunl三3uUMoP-OXAmnl-UMoP=OXExpectedchangeinpricebasedonyieldsATheexpectedchangeinpricebasedoninvestorsviewsofyieldsandyieldspreadsreflectsaninvestor,sexpectationofchangesinyieldsandyieldspreadsovertheinvestmenthorizon.E(pricebasedoninvestorsviewofyieldsandyieldspreads)=-modifieddurationyid-convexi
5、ty(yied)22，Expectedchange=0ifexpectedyieldcurvesandyieldspreadstoremainunchangedConvexityestimatestheeffectofthenon-linearityoftheyieldcurveEmbeddedoption:effectiveduration,effectiveconvexityFloatingratenoteshavemodifieddurationnearzeroExpectedcreditloss¤cygain/lossAExpectedcreditlossrepresent
6、theexpectedpercentageofparvaluelosttodefaultforabond.Expectedcreditlosses=Probability(default)expectedlossseverity(lossgivendefault)CurrencygainorlossAnyexpectedfluctuationsinthecurrencyexchangerateorexpectedcurrencygainsorlossesovertheinvestmenthorizon.Canbelockedinovertheinvestmenthorizonusingcurr
7、encyforwards.EstimationoftheinputsEasiestcomponent:yieldincome.ARelativelystraightforward:rolldownreturn.MostuncertainInvestorsviewsofchangesinyieldsandyieldspreads;Expectedcreditloss;Expectedcurrencymovements.行业创新憎值_ExampleAAnnmanagesaBritishpound-denominatedcorporatebondportfolio.Herdepartmenthead
8、inNewYorkhasaskedAnntomakeapresentationonthenextyearstotalexpectedreturnofherportfolioinUSdollarsandthecomponentsofthisreturn.ThefollowingshowsinformationontheportfolioandAnn,sexpectationsforthenextyear.Calculatethetotalexpectedreturnofthebondportfolio,assumingnoreinvestmentincome.ExampleNotionalpri
9、ncipalofportfolio(inmillion)100Averagebondcouponpayment(per100)2.75CouponfrequencyAnnualInvestmenthorizon1yearCurrentaveragebondprice97.11Expectedaveragebondpriceinoneyear(assuminganunchangedyieldcurve)97.27Averagebondconvexity0.18Averagebondmodifiedduration3.70Expectedaverageyieldandyieldspreadchan
10、ge0.26%Expectedcreditlosses0.10%Expectedcurrencylosses(depreciationversusUS$)0.50%巨业创新憎值一Example三ACorrectAnswer:Yieldincomeoveraoneyearhorizon=2.75/97.11=2.83%.Rolldownreturn=(97.27-97.11)97.11=0.16%.Rollyield=yieldincome+rolldownreturn=2.83%+0.16%=2.99%.TheexpectedchangeinpricebasedonAnn,sviewsofyi
11、eldsandyieldspreads=(-3.70*0.0026)+l2*0.18*(0.0026)2=-0.96%.Expectedcreditlosses=-0.1%.Expectedcurrencylosses(depreciationversusUS$)=-0.5%.Totalexpectedreturn=2.83%+0.16%+(-0.96%)+(-1%)+(-0.5%)=1.43%.2Immunization-multipleliabilitiesManagingmultipleliabilitiesApproachestomanagemultipleliabilitiesCas
12、hflowmatching/Entailsbuildingadedicatedportfolioofzero-couponorfixed-incomebondstoensurethattherearesufficientcashinflowstopaythescheduledcashoutflows.Durationmatching/Extendstheideasoftheprevioussectiontoaportfolioofdebtliabilities.Contingentimmunization/Allowsforactivebondportfoliomanagementuntila
13、minimumthresholdisreachedandthatthresholdisidentifiedbytheinterestrateimmunizationstrategy.CashflowmatchingAItisaclassicstrategytoeliminatetheinterestrateriskthroughbuildingadedicatedassetportfolioofhigh-qualityfixed-incomebonds,sothatmatchestheamountandtimingofthescheduledcashoutflows.Eachcashflowa
14、replacedinaheld-to-maturityportfolioWhycompanydonotbuybackandretireitsliabilities?Thebuybackstrategywouldbedifficultandcostly;MostcorporatebondsareratherilliquidThecorporatehasmotivationtoimprovethecompanyscreditratingbycashflowmatching.CashflowmatchingAccountingdefeasanceAwayofextinguishingadebtobl
15、igationbysettingasidesufficienthighqualitysecurities,suchasUSTreasurynotes,torepaytheliability.Aconcernforcashflowmatchingstrategyisthecash-in-advanceconstraintCash-in-advanceconstraintmeanssecuritiesarenotsoldtomeetobligations;Forcompany,sufficientfundsmustbeavailableonorbeforeeachliabilitypaymentd
16、atetomeettheobligation;Theremightbelargecashholdingsbetweenpaymentdates,socashreinvestmentriskwouldbefaced,astheshort-terminvestmentsreturnsarerelativelylow.DurationmatchingDurationmatchingformultipleliabilitiesThemoneydurationoftheimmunizingportfoliomatchesthemoneydurationofthedebtliabilities;Marke
17、tvaluesandcashflowyieldsoftheassetsandliabilitiesarenotnecessarilyequal.Matchmoneydurationisuseful.Basispointvalue(BPV)isusedtomeasuremoneyduration,meansIbpschangeincashflowyieldfthemarketvaluechange.DurationmatchingAImmunizationofmultipleliabilitiesisessentiallyaninterestrateriskhedgingstrategyChan
18、gesinthemarketvalueoftheassetportfoliocloselymatchchangesinthedebtliabilitieswhetherinterestratechanges.Althoughmoneydurationforassetsandliabilitiesarethesame,thedifferenceinstructureofassetandliabilityshowsadifferenceindispersionandconvexity.ARebalancingisneededIntheory,assetmanagerneedstomakeareba
19、lancewhenneeded,sothatthemoneydurationoftheassetcanmatchthemoneydurationoftheliability;Inreality,themanagerlikelywaitsuntilthemismatchislargeenoughtojustifythetransactionscostsinsellingsomebondsandbuyingothers.Methodtorebalance/Sellorbuythebonds;/Useinterestratederivatives.ContingentimmunizationCont
20、ingentimmunizationThepresenceofasignificantsurplusallowstheassetmanagertoconsidershybridpassive-activestrategy;Theideabehindcontingentimmunizationisthatassetmanagerscanpursueactiveinvestmentstrategies./Whenactivelymanagedassetsperformedpoorly,themandaterevertstothepurelypassivestrategyofbuildingadur
21、ationmatchingportfolio,andthenmanagingittoremainondurationtarget.H3.Strategiesforstableyieldcurve专业创新增值YieldcurvestrategiesAAssumeyieldcurveisupwardslopingActivestrategiesStableyieldcurveQ)Buyandhold(2)Rolldown/ridetheyieldcurve(3)Sellconvexity(4)CarrytradeYieldcurvemovementLevelchangeParallelshiftS
22、lopechangeFlattening(3)SteepeningCurvaturechange(4)LesscurvatureMorecurvatureRatevolatilitychange(5)DecreaseratevolatilityIncreaseratevolatility巨业创新憎值一2.1StrategiesforstableyieldcurveA(1)BuyandholdSelectandholdbondstoearnhigherYTM;Benefitfrom:couponcollectionandreinvestment,indicatingbyhigherYTM;Alt
23、houghholdwithoutactivetrading,itisstillanactivemanagement,sincethebondscharacteristicsdivergefromthebenchmark.A(2)Riding(rolldown)theyieldcurveWhenpriceisupwardsloping,buylongtermbondsandsellshorttermbonds,Benefitfrom:highergainduringpriceappreciationandlowerlossduringpricedepreciation;Particularlyu
24、sefulwhen:yieldcurvearestableandrelativelysteep,sincethepricewillappreciatemoreasthetimepasses.Iftheforecastendingyieldonaparticularbondislower(higher)thantheforwardrate,thenitcanbeexpectedtoearnareturngreaterthan(lessthan)theone-periodrate.21-29StrategiesforstableyieldcurveA(3)SellconvexityBuybonds
25、withlowerconvexity,orsay,sellbondswithhigherconvexity./E.g.BuycallablebondsorMBS(negativeconvexity).Benefitfrom:differenceinconvexitybetweenbondswithsameduration.A(4)CarrytradeAcarrytradeinvolvesbuyingsecurityandfinancingitatratethatisZoiverthantheyieldonthatsecurity;Benefitfrom:thespreadbetweentwor
26、ates;Thecarrytradecanbeinherentlyrisky,becausetheportfolioholds(typically)longer-termsecuritiesfinancedwithshort-termsecurities.CarrytradeAIntra-marketcarrytrades(tradeonlyinonemarket)Thereareatleastthreebasicwaystoimplementacarrytradetoexploitastable,upward-slopingyieldcurve:/Buyabondandfinanceitin
27、therepomarket./Receivedfixedandpayfloatingonaninterestrateswap./Takealongpositioninabond(ornote)futurescontract.三三短画m三6z4zEnwssuxptdxUJ寸ExpectedexcessreturnAHolding-periodexcessreturnXR(st)-(sSD)WhereXRistheholding-periodexcessreturn,Sisthespreadatthebeginningoftheholdingperiod,tistheholdingperiodex
28、pressedinfractionsofayear,sisthechangeinthecreditspreadduringtheholdingperiod,andSD=spreadduration.ExpectedexcessreturnEXR(st)-(sSD)-(tpL)WherePistheannualizedexpectedprobabilityofdefault,Listheexpectedlossseverity.Notethattheterm(PXQiStheexpectedannualcreditloss.ExampleQAAcorporatebondhasaspreaddur
29、ationoffiveyearsandacreditspreadof2.75%.2.3.Whatistheapproximateexcessreturnifthebondisheldforsixmonthsandthecreditspreadnarrowsto2.25%?Assumethespreaddurationremainsatfiveyearsandthatthebonddoesnotexperiencedefaultlosses.Whatistheinstantaneous(holdingperiodofzero)excessreturnifthespreadrisesto3.25%
30、?Assumethebondhasa1%annualizedexpectedprobabilityofdefaultandexpectedlossseverityof60%intheeventofdefault.Whatistheexpectedexcessreturnifthebondisheldforsixmonthsandthecreditspreadisexpectedtofallto2.25%?ExampleQACorrectAnswer:Solutionto1:UsingEquation1,theexcessreturnonthebondisapproximately3.875%=
31、(2.75%0.5)-(2.25%-2.75%)5.Solutionto2:UsingEquation1,theinstantaneousexcessreturnonthebondisapproximately-2.5%=(2.75%0)-(3.25%-2.75%)5.Solutionto3:UsingEquation2,theexpectedexcessreturnonthebondisapproximately3.575%=(2.75%0.5)-(2.25%-2.75%)5-(0.51%60%).Itsnottheendbutjustbeginning.Yourlifecanbeenhan
32、ced,andyourhappinessenriched,whenyouchoosetochangeyourperspective.Dontleaveyourfuturetochance,orwaitforthingstogetbettermysteriouslyontheirown.Youmustgointhedirectionofyourhopesandaspirations.Begintobuildyourconfidence,andworkthroughproblemsratherthanavoidthem.Rememberthatpowerisnotnecessarilycontroloversituations,buttheabilitytodealwithwhatevercomesyourway.一旦变换看问题的角度，你的生活会豁然开朗，幸福快乐会接踵而来。别交出掌握命运的主动权，也别指望局面会不可思议的好转。你必须与内心希望与热情步调一致。建立自信，敢于与困难短兵相接，而非绕道而行。记住，力量不是驾驭局势的法宝，无坚不摧的能力才是最重要的。
