投资学英文课件：Chap016 Managing Bond Portfolios

1、Investments, 8th editionBodie, Kane and MarcusMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies, Inc. All rights reserved.16-2 Inverse relationship between price and yield An increase in a bonds yield to maturity results in a smaller price decline than the gain associated with a decrease

2、in yield Long-term bonds tend to be more price sensitive than short-term bondsBond Pricing Relationships16-3Figure 16.1 Change in Bond Price as a Function of Change in Yield to Maturity16-4 As maturity increases, price sensitivity increases at a decreasing rate Price sensitivity is inversely related

3、 to a bonds coupon rate Price sensitivity is inversely related to the yield to maturity at which the bond is sellingBond Pricing Relationships Continued16-5Table 16.1 Prices of 8% Coupon Bond (Coupons Paid Semiannually)16-6Table 16.2 Prices of Zero-Coupon Bond (Semiannually Compounding)16-7 A measur

4、e of the effective maturity of a bond The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment Duration is shorter than maturity for all bonds except zero coupon bonds Duration is equal to maturity for zero coupon bondsDurati

5、on16-8tttwCFyice()1PrtwtDTt1CFCashFlowforperiodttDuration: Calculation16-9Spreadsheet 16.1 Calculating the Duration of Two Bonds16-10Price change is proportional to duration and not to maturityD* = modified durationDuration/Price Relationship(1)1PyDxPy *PDyP 16-11Rules for DurationRule 1 The duratio

6、n of a zero-coupon bond equals its time to maturityRule 2 Holding maturity constant, a bonds duration is higher when the coupon rate is lowerRule 3 Holding the coupon rate constant, a bonds duration generally increases with its time to maturityRule 4 Holding other factors constant, the duration of a

7、 coupon bond is higher when the bonds yield to maturity is lowerRules 5 The duration of a level perpetuity is equal to: (1+y) / y16-12Figure 16.2 Bond Duration versus Bond Maturity16-13Table 16.3 Bond Durations (Yield to Maturity = 8% APR; Semiannual Coupons)16-14Convexity The relationship between b

8、ond prices and yields is not linear Duration rule is a good approximation for only small changes in bond yields16-15Figure 16.3 Bond Price Convexity: 30-Year Maturity, 8% Coupon; Initial Yield to Maturity = 8%16-16Correction for ConvexityntttttyCFyPConvexity122)()1 ()1 (1Correction for Convexity:21(

9、) 2PDyConvexityyP 16-17Figure 16.4 Convexity of Two Bonds16-18Callable Bonds As rates fall, there is a ceiling on possible pricesThe bond cannot be worth more than its call price Negative convexity Use effective duration:/Effective Duration = P Pr16-19Figure 16.5 Price Yield Curve for a Callable Bon

10、d16-20Mortgage-Backed Securities Among the most successful examples of financial engineering Subject to negative convexity Often sell for more than their principal balanceHomeowners do not refinance their loans as soon as interest rates drop16-21Figure 16.6 Price -Yield Curve for a Mortgage-Backed S

11、ecurity16-22Mortgage-Backed Securities Continued They have given rise to many derivatives including the CMO (collateralized mortgage obligation)Use of tranches16-23Figure 16.7 Panel A: Cash Flows to Whole Mortgage Pool; Panels BD Cash Flows to Three Tranches16-24 Bond-Index Funds Immunization of int

12、erest rate risk:Net worth immunizationDuration of assets = Duration of liabilitiesTarget date immunizationHolding Period matches DurationPassive Management16-25Figure 16.8 Stratification of Bonds into Cells16-26Table 16.4 Terminal value of a Bond Portfolio After 5 Years (All Proceeds Reinvested)16-2

13、7Figure 16.9 Growth of Invested Funds16-28Figure 16.10 Immunization16-29Table 16.5 Market Value Balance Sheet16-30Cash Flow Matching and Dedication Automatically immunize the portfolio from interest rate movement Cash flow and obligation exactly offset each other i.e. Zero-coupon bond Not widely use

14、d because of constraints associated with bond choices Sometimes it simply is not possible to do16-31 Substitution swap Intermarket swap Rate anticipation swap Pure yield pickup Tax swapActive Management: Swapping Strategies16-32Horizon Analysis Select a particular holding period and predict the yield curve at end of period Given a bonds time to maturity at the end of the holding periodIts yield can be read from the predicted yield curve and the end-of-period price can be calculated16-33Contingent Immunization A combination of active and passive management The strategy involves activ