CFA三級知識點必備：Fixed-income-標準版

Fixed-IncometfolioManagement三級培訓項目1.DecomposeexpectedreturnsDecomposeexpectedreturnsExaminingthesecomponentsleadsabetterunderstandingthedrivingforcesbehindexpectedreturns.Expectedreturns[E(R)]bedecomposedapproximately;Betterunderstandtheirowninvestmentpositions;Appliedanannualperiod;Notreflecttaxes.Yieldincometheincomethataninvestorreceivescouponpaymentsthepriceaswellasinterestonreinvestmentincome.annualAnnualcouponpayment=coupon+reinvestmentincomeWhenreinvestmentincome=0,yieldincome=currentyieldreturnreturn:returnresultsthebonddown”theyieldcurveasthematuritydecrease,assuminginterestrateEqualsthepercentagepricechangeassumingunchangedyieldcurveoverthestrategyhorizon.beginningendbeginningyield=income+rolldownreturnExpectedchangebasedyieldsTheexpectedchangepriceinvestorviewsyieldsandyieldspreadsreflectsaninvestorexpectationchangesyieldsandyieldovertheinvestmenthorizon.and12durationyield2Expectedchange=0expectedyieldcurvesandyieldspreadsremainunchangedConvexityestimatestheeffectthenon-linearitytheyieldcurveEmbeddedoption:effectiveduration,effectiveconvexityratenoteshavemodifieddurationnearzeroExpectedcreditloss¤cygain/lossExpectedcreditrepresenttheexpectedpercentagelostdefaultforabond.=Probability(default)CurrencyorAnyexpectedfluctuationsthecurrencyexchangerateorexpectedcurrencygainsorlossesovertheinvestmenthorizon.Canbelockedovertheinvestmenthorizonusingcurrencyforwards.Estimationtheinputscomponent:yieldincome.straightforward:rolldownreturn.MostuncertainInvestorviewschangesyieldsandyieldspreads;Expectedcreditloss;Expectedcurrencymovements.ExampleAnnmanagesaBritishpound-denominatedcorporatebondportfolio.HerdepartmentheadNewhasaskedAnnapresentationonthenextyeartotalexpectedreturnherportfolioUSdollarsandthecomponentsthisreturn.ThefollowingshowsinformationontheportfolioandexpectationsforthenextCalculatethetotalexpectedreturnthebondportfolio,assumingnoreinvestmentincome.ExampleNotionalprincipalportfoliomillion)￡￡Annual1yearAveragebondcouponpayment(per￡CouponfrequencyInvestmenthorizonCurrentaveragebondprice￡Expectedaveragebondpriceoneyear(assuminganunchangedyieldcurve)￡AveragebondconvexityAveragebondmodifieddurationExpectedaverageyieldandyieldspreadchangeExpectedcreditlossesExpectedcurrencylosses￡depreciationversusExampleCorrectAnswer:Yieldincomeoveraoneyearhorizon=2.75/97.11=returnyield=yieldincome+rolldownreturn=2.83%+0.16%=2.99%.Theexpectedchangebasedonviewsyieldsspreads]=-0.96%.Expectedcreditlosses=-0.1%.Expectedcurrency￡depreciationversusUS$)=-0.5%.expectedreturn++（）+（-1%）+（）=1.43%.multipleliabilitiesManagingApproachestomanagemultipleflowmatchingEntailsbuildingadedicatedportfoliozero-couponorfixed-incomebondsensurethattheresufficientcashinflowsthescheduledcashoutflows.DurationmatchingExtendstheideastheprevioussectionaportfoliodebtliabilities.ContingentimmunizationAllowsforactivebondportfoliomanagementuntilaminimumthresholdreachedandthatthresholdidentifiedbytheinterestrateimmunizationCashmatchingItaclassicstrategyeliminatetheinterestthroughbuildingadedicatedassetportfoliohigh-qualityfixed-incomebonds,sothatmatchestheamountandtimingthescheduledcashoutflows.Eachcashflowplacedaheld-to-maturityportfolioWhycompanydonotbuybackretireThebuybackstrategywouldbedifficultandcostly;MostcorporatebondsratherThecorporatehasthecreditratingbycashflowmatching.CashmatchingAccountingdefeasanceAwayextinguishingadebtobligationbysettingasidesufficienthighqualitysecurities,suchasUSynotes,theAconcernforflowmatchingstrategythecash-in-advanceCash-in-advancemeanssecuritiesnotsoldmeetobligations;Forsufficientfundsmustbeonorbeforeeachpaymentdatemeettheobligation;Theremightbecashholdingsbetweenpaymentdates,socashreinvestmentriskwouldbefaced,astheshort-terminvestmentsreturnsDurationmatchingDurationmatchingformultipleThemoneydurationtheimmunizingportfoliomatchesthemoneydurationthedebtMarketandcashflowyieldstheassetsandnotnecessarilyequal.Matchmoneydurationuseful.point(BPV)usedmeasuremoneyduration,meanschangecashyield,thechange.DurationmatchingImmunizationmultipleinteresthedgingstrategyChangesthemarkettheassetportfoliocloselymatchchangesthedebtwhetherinterestratechanges.Althoughmoneydurationforassetsandthesame,thedifferencestructureassetandshowsadifferenceandconvexity.neededIntheorassetmanagerneedsarebalancewhenneeded,sothatthemoneydurationtheassetcanmatchthemoneydurationtheInthemanagerwaitsuntiltheenoughjustifythetransactionscostsbondsandbuyingMethodrebalanceSellorbuythebonds;Useinterestratederivatives.ContingentimmunizationContingentimmunizationThepresenceasignificantsurplusallowstheassetmanagerconsiderahybridpassive-activestrategy;Theideabehindcontingentimmunizationthatassetmanagerscanpursueactiveinvestmentstrategies.Whenactivelymanagedassetsperformedthemandaterevertsthepurelypassivestrategybuildingadurationmatchingportfolio,andthenmanagingremainondurationtarget.3.StrategiesforstableyieldcurcurvestrategiesAssumecurveupwardslopingActivestrategiesBuyandholdRolldown/ridetheyieldcurveStablecurveSellconvexityCarrytradeshiftLevelchangeFlatteningSteepeningLesscurvatureMorecurvatureDecreaserateIncreaserateSlopechangeCurvaturechangeRatechangeYieldcurvemovementstablecurve(1)BuyandholdSelectandholdbondsearnhigherYTM;Benefitfrom:couponcollectionandreinvestment,indicatingbyhigherYTM;Althoughholdwithoutactivetrading,stillanactivemanagement,sincethecharacteristicsthebenchmark.(2)Riding(rolldown)thecurveWhenpriceupwardsloping,buylongtermbondsandsellshorttermbonds;Benefitfrom:highergainduringpriceappreciationandlowerlossduringpricedepreciation;Particularlyusefulwhen:yieldcurvestableandsteep,sincethepricewillappreciatemoreasthetimepasses.Iftheforecastendingyieldonaparticularbondlower(higher)thantheforwardrate,thencanbeexpectedtoearnareturngreaterthan(lessthan)theone-periodrate.stablecurve(3)SellconvexityBuybondswithlowerconvexity,orsellbondswithhigherconvexity.E.g.BuycallablebondsorMBS(negativeconvexity).Benefitfrom:differenceconvexitybetweenbondswithsameduration.(4)CarrytradeAcarrytradeinvolvesbuyingasecurityandfinancingaratethatlowerthantheyieldonthatsecurity;Benefitfrom:thespreadbetweentworates;Thecarrytradecanbeinherentlybecausetheportfolioholds(typically)longer-termsecuritiesfinancedwithshort-termsecurities.CarrytradeIntra-marketcarrytrades(tradeonlyonemarket)Thereatleastthreewaysimplementacarrytradeexploitastable,upward-slopingcurve:Buyabondandfinancetherepomarket.Receivedfixedandonaninterestrateswap.alongpositionabond(ornote)futurescontract.4.ExpectedreturnExpectedexcessreturnHolding-periodreturnXR≈s×)–(Δs×SD)WhereXRtheholding-periodexcessreturn,sthespreadatthebeginningtheholdingperiod,ttheholdingperiodexpressedfractionsaΔsthechangethecreditspreadduringtheholdingperiod,andSD=spreadduration.ExpectedreturnEXR≈s×)–(Δs×SD)–t×p×L)Whereptheannualizedexpecteddefault,LtheexpectedlossNotethatthetermp×L)theexpectedannualcreditloss.ExampleAcorporatebondhasaspreaddurationyearsandacreditspreadWhattheexcessreturnthebondheldforsixmonthsandthecreditspreadnarrowsAssumethespreaddurationremainsatyearsandthatthebonddoesnotexperiencedefaultlosses.Whattheinstantaneous(holdingperiodzero)excessreturnthespreadrisesAssumethebondhasaannualizedexpecteddefaultandexpectedlossseverity