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1、CHAPTERFORTY-FOURQUANTITATIVEMANAGEMENTOFBENCHMARKEDPORTFOLIOSLEVDYNKIN,PH.D.ManagingDirectorLehmanBrothersJAYHYMAN,PH.D.SeniorVicePresidentLehmanBrothersVADIMKONSTANTINOVSKY,CFASeniorVicePresidentLehmanBrothersMostfixedincomeportfoliostodayaremanagedrela
2、tivetoabenchmark.Dependingontheinvestmentobjectiveandstyle,theroleofthebenchmarkvaries.Atoneendofthespectrumarepassiveindexedfundsthatstrivetomatchbenchmarkriskexposuresascloselyaspossible.Attheotherendareveryactiveportfolioswithhighrisktolerancethatfree
3、lymaximizeoutperformancebyinvestingoutsidethebenchmarkandusethelatteronlyasanonbindingreferencepoint.Themajorityofexistingpoolsoffixedincomeassetsfallsomewherebetweentheseextremes.Typically,asponsor,aninvestmentcommittee,achiefinvestmentofficer,orsomeother
4、partythatsetstheinvestmentobjectivespecifiesboththebenchmarkandthelimitsfordeviationfromit.Theportfoliomanageristhenjudgedbytheachievedoutperformanceversusthebenchmarkandtheamountofriskthathadtobetakentogeneratethisoutperformance.Fortheportfoliomanager,th
5、ebenchmarkrepresentsthezero-riskposition.Overtime,unlessthemanagerdeviatessubstantiallyfromthebenchmarkorper-hapshasaconsistentbiasinagivensector,theportfolio’sperformancelargelywillbedeterminedbythechoiceofthebenchmark.Theobviousimportanceofthebenchmark
6、callsforextremecareinchoosingoneforeachindividualportfo-lio.Thereisanever-growingnumberofbondmarketindexespublishedbytheleadinginvestmentbanksandotherfinancialinstitutions.Often,anappropriatebenchmarkcanbeselectedfromthiswidearrayofindexes.Buttherearemany
7、1017Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1018PART6BondPortfolioManagementcaseswhennoneoftheready-madeindexesmatchesthedesiredcharacteristicsoftheportfolio.Toensurethatthebenchmarkcorrectlyreflect
8、sagiveninvestmentopportunitysetandconstraints,anexistingindexmayneedtobemodified.Sometimes,anew,highlyspecializedindexneedstobeconstructed.Finally,forsomeinvestors,therightbenchmarkmaynotevenbeatraditionaltotal-returnmarket
