投资学第16节债券资产组合管理.pptVIP

CHAPTER 16 Managing Bond Portfolios Substitution swap Intermarket swap Rate anticipation swap Pure yield pickup Tax swap Active Management: Swapping Strategies Horizon Analysis Select a particular holding period and predict the yield curve at end of period Given a bond’s time to maturity at the end of the holding period Its yield can be read from the predicted yield curve and the end-of-period price can be calculated Contingent Immunization A combination of active and passive management The strategy involves active management with a floor rate of return As long as the rate earned exceeds the floor, the portfolio is actively managed Once the floor rate or trigger rate is reached, the portfolio is immunized Figure 16.11 Contingent Immunization 16-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Inverse relationship between price and yield An increase in a bond’s yield to maturity results in a smaller price decline than the gain associated with a decrease in yield Long-term bonds tend to be more price sensitive than short-term bonds Bond Pricing Relationships Figure 16.1 Change in Bond Price as a Function of Change in Yield to Maturity As maturity increases, price sensitivity increases at a decreasing rate Price sensitivity is inversely related to a bond’s coupon rate Price sensitivity is inversely related to the yield to maturity at which the bond is selling Bond Pricing Relationships Continued Table 16.1 Prices of 8% Coupon Bond (Coupons Paid Semiannually) Table 16.2 Prices of Zero-Coupon Bond (Semiannually Compounding) A measure of the effective maturity of a bond The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment Duration is shorter than maturity for all bonds except zero coupon bonds Duration is equal to maturity for zero coupon bonds Duration Duration: Calculation Spreadsheet 16.1 Calculating the