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ID:7768105
大小:773.49 KB
页数:42页
时间:2018-02-24
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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
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