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1、CHAPTERFORTYAFRAMEWORKFORANALYZINGYIELD-CURVETRADESANTTIILMANEN,PH.D.SeniorTraderBrevanHowardAssetManagementLLPInChapter8,itwasexplainedthattheshapeoftheyieldcurvedependsonthreemaindeterminants:themarket’srateexpectations,therequiredbondriskpremia,andtheconvexitybias.Inthischapterweshowhow
2、todecomposetheforwardratecurveintothesethreedeterminants.Eventhoughwecannotobservethesedetermi-nantsdirectly,thedecompositioncanclarifyourthinkingabouttheyieldcurve.Ouranalysisalsoproducesdirectapplications—itprovidesasystematicframeworkforrelative-valueanalysisofnoncallablegovernmentbonds
3、.Analogoustothedecompositionofforwardrates,thetotalexpectedreturnofanygovernmentbondpositioncanbeviewedasthesumofafewsimplebuildingblocks:(1)theyieldincome,(2)therolldownreturn,(3)thevalueofconvexity,and(4)thedurationimpactoftherateview.Afurthertermshouldbeaddedforbondsthattrade“special”in
4、therepomarketandforbondsthattradeveryrichorcheapagainstthefittedcurve.Thefollowingobservationsmotivatethisdecomposition.Abond’snear-termexpectedreturnisasumofitshorizonreturngivenanunchangedyieldcurveanditsexpectedreturnfromexpectedchangesintheyieldcurve.Thefirstitem,thehorizonreturn,isalsoc
5、alledtherollingyieldbecauseitisasumofthebond’syieldincomeandtherolldownreturn(thecapitalgainthatthebondearnsbecauseitsyielddeclinesasitsmaturityshortensandit“rollsdown”anupward-slopingyieldcurve).Theseconditem,theexpectedreturnfromexpectedchangesintheyieldcurve,canbeapproximatedbydurationa
6、ndconvexityeffects.Thedura-tionimpactiszeroiftheyieldcurveisexpectedtoremainunchanged,butitmaybethemainsourceofexpectedreturniftheratepredictionsarebasedonaninvestor’soreconomist’smarketvieworonaquantitativeforecastingmodel.ThischapterisarevisedversionofaCitigroup(SalomonBrothers)researchr
7、eport.SuchreportremainsthepropertyofCitigroup,anditsdisclaimersapply.913Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.914PART5ValuationandAnalysisThevalueofconvexityisalwayspositiveanddependsonthebond’sconvexi
