introduction to bond portfolio management

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1、CHAPTERFORTY-THREEINTRODUCTIONTOBONDPORTFOLIOMANAGEMENTKENNETHE.VOLPERT,CFAPrincipalandSeniorPortfolioManagerTheVanguardGroup,Inc.Traditionalbondmanagementcanbelikenedtoasailingregatta.Theindexistheleadboatbecauseitdoesnothaveexpensesandtransactioncoststocontendwith,andallmanagers(includingindexf

2、undmanagers)aretheotherboats,tryingtomakeupthedistanceandpasstheindexboat—oratleastkeeppacewithit.Strategiesthatmaybeusedtomakeupthedifferenceandpasstheleadboatcom-priseawidespectrumofstylesandapproaches.(Exhibit43–1displaysthemajorelementsoftheseapproaches.)Inthischapterwe’llexaminethisspectrum,

3、investigatingtheprosandconsofmatching—andmismatching—bondindexesandcomparingwaysofcon-structingbondportfolios.Ourexaminationwillincludeadetailedlookatthefac-torstoconsiderwhenmatchingabondindex’sriskfactors,aswellasthemeth-odsthatmaybeusedtoprovideanedgeoveranindex.OVERVIEWOFTRADITIONALBONDMANAGE

4、MENTAlthoughbondportfoliomanagementcanbecomplicated,decidingonaninvest-mentapproachrequiresananswertoafairlysimplequestion:Howmuchriskwouldyouliketotake?PureBondIndexMatchingPurebondindexingisthelowest-risk(andlowestexpectedreturn)approachtobondmanagementversusaspecificbenchmark.Thisapproachessent

5、iallyguaran-teesthatreturnswilllagbehindtheindexbythecostdifference(expensesplustransactioncosts).Purebondindexmatchingattemptstofullyreplicatetheindexbyowningallthebondsintheindexinthesameproportionastheindex.Inthebondmarket,however,suchanapproachisverydifficulttoaccomplishandverycostlytoimplemen

6、t.Manybondsintheindexwereissuedyearsagoandthereforeareilliquid.Manybondsalsowereissuedwheninterestratesweresignificantly989Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.990PART6BondPortfolioManagementEXHIBIT43–1TraditionalBondManagementRiskSprectr

7、umTraditionalBondManagementRiskSpectrumIndexEnhancedIndexActiveRisk&ExpectedReturnvs.Benchmark•PureIndex•Matching•Minor•Larger•FullblownMatch(overlyPrimaryIndexMismatchesMismatchesActiveconstrained)RiskFactors•Cashflow