Bond Portfolio Management Strategies债券投资组合管理的策略.pptVIP

Bond Portfolio Management Strategies Active, Passive, and Immunization Strategies Alternative Bond Portfolio Strategies 1. Passive portfolio strategies 2. Active management strategies 3. Matched-funding techniques 4. Contingent procedure (structured active management) Passive Portfolio Strategies Buy and hold Can be modified by trading into more desirable positions Indexing Match performance of a selected bond index Performance analysis involves examining tracking error Passive Portfolio Strategies Advantages to using indexing strategy Historical performance of active managers Reduced fees Indexing methodologies Full participation Stratified sampling (cellular approach) Optimization approach Variance minimization Determinants of Price Volatility 1. Bond prices move inversely to bond yields (interest rates) 2. For a given change in yields, longer maturity bonds post larger price changes, thus bond price volatility is directly related to maturity 3. Price volatility increases at a diminishing rate as term to maturity increases 4. Price movements resulting from equal absolute increases or decreases in yield are not symmetrical 5. Higher coupon issues show smaller percentage price fluctuation for a given change in yield, thus bond price volatility is inversely related to coupon Duration Since price volatility of a bond varies inversely with its coupon and directly with its term to maturity, it is necessary to determine the best combination of these two variables to achieve your objective A composite measure considering both coupon and maturity would be beneficial Duration Characteristics of Duration Duration of a bond with coupons is always less than its term to maturity because duration gives weight to these interim payments A zero-coupon bond’s duration equals its maturity An inverse relation between duration and coupon A positive relation between term to maturity and duration, but duration increases at a decreasing rate with maturity An inverse relation between YTM