managing bond portfolios

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1、FinalPDFtoprinterCHAPTERSIXTEENManagingBondPortfolios166INTHISCHAPTER weturntovariousstrate-Becauseinterestrateriskiscrucialtofor-giesthatbondportfoliomanagerscanpur-mulatingbothactiveandpassivestrategies,sue,makingadistinctionbetweenpassivewebeginourdiscussionwithananalysisofandactivestrategi

2、es.Apassiveinvestmentthesensitivityofbondpricestointerestratestrategytakesmarketpricesofsecuritiesasfluctuations.Thissensitivityismeasuredbysetfairly.Ratherthanattemptingtobeatthedurationofthebond,andwedevotecon-themarketbyexploitingsuperiorinfor-siderableattentiontowhatdeterminesbondmationori

3、nsight,passivemanagersacttoduration.Wediscussseveralpassiveinvest-maintainanappropriaterisk–returnbalancementstrategies,andshowhowduration-givenmarketopportunities.Onespecialmatchingtechniquescanbeusedtoimmunizecaseofpassivemanagementisanimmuni-theholding-periodreturnofaportfoliofromzationstra

4、tegythatattemptstoinsulateorinterestraterisk.Afterexaminingthebroadimmunizetheportfoliofrominterestraterangeofapplicationsofthedurationmea-risk.Incontrast,anactiveinvestmentstrat-sure,weconsiderrefinementsinthewaythategyattemptstoachievereturnsgreaterthaninterestratesensitivityismeasured,focus

5、ingthosecommensuratewiththeriskborne.Inontheconceptofbondconvexity.Durationthecontextofbondmanagementthisstyleisimportantinformulatingactiveinvestmentofmanagementcantaketwoforms.Activestrategiesaswell,andweconcludethechap-managersuseeitherinterestrateforecaststerwithadiscussionofactivefixed-in

6、cometopredictmovementsintheentirebondstrategies.Theseincludepoliciesbasedonmarketorsomeformofintramarketanaly-interestrateforecastingaswellasintramar-sistoidentifyparticularsectorsofthemar-ketanalysisthatseekstoidentifyrelativelyPARTIVketorparticularbondsthatarerelativelyattractivesectorsorsec

7、uritieswithinthemispriced.fixed-incomemarket.bod61671_ch16_515-556.indd5157/17/134:05PMFinalPDFtoprinter516PARTIVFixed-IncomeSecurities16.1InterestRateRiskWehaveseenalreadythatbondpricesandyieldsareinverselyrelated,andweknowthatinterest