【正文】 ity of included bonds ? excluded issues ? weighting ? reinvestment ? Daily availability ? 構造反映債券市場指標的證券組合 ? 問題： ? 債券種類過多，難以一一購買 ? 交易少，很難以公平市價買到指標中包含的所有債券 ? 指標不斷更換到期日少于 1年的債券 ? 不斷調整，利息收入重投資 ? 方法：精確復制債券指標不可行，采用 cellular方法 ? 把債券市場分成幾類 ? 指標中債券在各類中占的比例 ? 按這一比例構造債券組合 ? In these way, the characteristics of the portfolio in terms of maturity, coupon rate, credit risk, industrial representation, and so on, will match the characteristics of the index, and the performance of the portfolio likewise should match the index. Sector TtM Treasury Agency MortgageBacked Industrial Finance Utility Yankee 1 year % 13 years % 35 years % 57 years 710 years % 1015 years 1530 years % % 30+ years Immunization ? 兩種不同的看待利率風險的方式 ? 銀行，使得資產凈現值不受利率波動的影響 ? 養(yǎng)老金，使得資產將來的值不受風險的影響 ? What is mon to the bank and the pension fund is interest rate risk. The worth of the firm or the ability to meet future obligations fluctuates with interest rates. ? 通過適當調整證券組合的到期日結構，規(guī)避利率風險 ? Immunization techniques refer to strategies used by such investors to shed their overall financial status from exposure to interest rate fluctuations. ? Net worth immunization ? 例子：承諾在兩年后支付 1000000元，有兩種債券可供選擇： ? 債券 1年 2年 3年 yield ? 1 80 80 1080 10% ? 2 1070 10% ? 121 ??ww 21 ???? ww? 例子：保險公司以價格 10000元發(fā)行一種guaranteed investment contract(GIC)， 5年到期，保證利率為 8%。 ? 假設公司選擇息率 8%， 6年到期、價格為 10000元的帶息債券為債務提供基金。 ? 價格風險 ? 重投資風險 ? ? 4 6 9 0 0 0 05 ??? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? A. rates remain at 8% 1 4 8 0 0 ? ?4? = 1 0 8 8 . 3 92 3 8 0 0 ? ?3? 1 0 0 7 . 7 73 2 8 0 0 ? ?2? 9 3 3 . 1 24 1 8 0 0 ? ?1? 8 6 45 0 8 0 0 8 0 0S a l e o f b o n d 0 1 0 8 0 0 / 1 . 0 8 1 0 0 0 01 4 6 9 3 . 2 8? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? B. rates fall to 7% 1 4 8 0 0 ? ?4?2 3 8 0 0 ? ?3?3 2 8 0 0 ? ?2?4 1 8 0 0 ? ?1?5 0 8 0 0S a l e o f b o n d 0 1 0 8 0 0 / 1 . 0 71 4 6 9 4 . 0 5? Terminal value of a bond portfolio after 5 years (all proceeds reinvested) ? C. rates increase to 9% 1 4 8 0 0 ? ?4?2 3 8 0 0 ? ?3?3 2 8 0 0 ? ?2?4 1 8 0 0 ? ?1?5 0 8 0 0S a l e o f b o n d 0 1 0 8 0 0 / 1 . 0 91 4 6 9 6 . 0 2? For a horizon equal to the portfolio?s duration, price risk and reinvestment risk exactly cancel out. ? Accumulated value of invested funds ? funds ? 0 t* D t ? value ? 10000 ? 6000 ? 8% interest rate Coupon bond Single payment obligation ? 在 8%，資產和債務的現值相等；當利率變化幅度不大時，資產和債務的值的變化量相等；當利率變化幅度很大時，資產和債務值的變化量不再相等。 ? 當資產的收益變化時，其久期也發(fā)生了變化，這時，資產和債務的久期不再相匹配。 ? 即使利率不變，當時間變化時，久期也會發(fā)生變化 ? Rebalancing immunized portfolio ? Even if an obligation is immunized at the outset, as time passes the durations of the asset and liability will fall at different rates. Without portfolio rebalancing, durations will bee unmatched and the goals of immunization will not be realized. ? Immunization is a passive strategy only in the sense that it does not involve attempts to identify undervalued securities. Immunization mangers still actively update and monitor their positions. ? 例子：假設證券組合經理在 7年后有一筆19487元的債務，以現在 10%的市場利率計算現值為 10000元。經理希望通過 3年的零息債券和永久性現金流來 immunize這筆債務。 ? 對永久性現金流，在利率 10%之下的久期是11年。設 為零息債券的權 ?711)1(3 ????? ????? 第二年，債務的現值為 11000元，資金也變?yōu)?11000元：零息債券 5500元，永久性500+5000元 ? 第 2年，即使利率不變，經理也需要調整策略 611)1(2 ????? ??95??? An appropriate promise must be established between the desire for perfect immunization and the need to control trading costs. ? Immunization 在實際中 的問題 ? The notion of duration is strictly valid only for a flat yield curve. ? multiple nonparallel shifts in a nonhorizontal yield curve ? 通貨膨脹 ? On this note, it is worth pointing out that immunization is a goal that may well be inappropriate for many investors who would find a zerorisk portfolio strategy unduly conservative. Full immunization is a fairly extreme position for a portfolio manager to pursue. Active bond management ? Interest rate forecasting ? identification of relative mispricing 演講完畢，謝謝觀看！