固定收益证券Active-Bond-Portfolio-Management-Strategies.pptVIP

Chapter23

?ActiveBondPortfolioManagementStrategies

LearningObjectivesAfterreadingthischapter,youwillunderstandthefivebasicstepsinvolvedintheinvestmentmanagementprocessthedifferencebetweenactiveandpassivestrategieswhattrackingerrorisandhowitiscomputedthedifferencebetweenforward-lookingandbackward-lookingtrackingerrorthelinkbetweentrackingerrorandactiveportfoliomanagementtheriskfactorsthataffectabenchmarkindextheimportanceofknowingthemarketconsensusbeforeimplementinganactivestrategy

LearningObjectives(continued)Afterreadingthischapter,youwillunderstandthedifferenttypesofactivebondportfoliostrategies:interest-rateexpectationsstrategies,yieldcurvestrategies,yieldspreadstrategies,option-adjustedspread-basedstrategies,andindividualsecurityselectionstrategiesbullet,barbell,andladderyieldcurvestrategiesthelimitationsofusingdurationandconvexitytoassessthepotentialperformanceofbondportfoliostrategieswhyitisnecessarytousethedollardurationwhenimplementingayieldspreadstrategyhowtoassesstheallocationoffundswithinthecorporatebondsectorwhyleveragingisusedbymanagersandtradersandtherisksandrewardsassociatedwithleveraginghowtoleverageusingtherepomarket

OverviewoftheInvestmentManagementProcessRegardlessofthetypeoffinancialinstitution,theinvestmentmanagementprocessinvolvesthefollowingfivesteps:settinginvestmentobjectivesestablishinginvestmentpolicyselectingaportfoliostrategyselectingassetsmeasuringandevaluatingperformance

OverviewoftheInvestmentManagementProcess(continued)SettingInvestmentObjectivesThefirststepintheinvestmentmanagementprocessissettinginvestmentobjectives.Theinvestmentobjectivewillvarybytypeoffinancialinstitution.EstablishingInvestmentPolicyThesecondstepininvestmentmanagementprocessisestablishingpolicyguidelinesformeetingtheinves