章节6固定收益产品组合管理ss10-任务1讲义-10.v1cfa三级

【梦轩考 专业提供CFAFRM全程+讲 ePortfolioManagementPAGE【梦轩考 TopicinCFALevel

专业提供CFAFRM全程+讲SS1-ETHICS&PROFESSIONALSSSSSSSSPORTFOLIOMANAGEMENTFORINSTITUTIONALSS SSASSETALLOCATIONANDRELATEDDECISIONSANDINPORTFOLIOMANAGEMENTSSASSETALLOCATIONANDRELATEDDECISIONSANDINPORTFOLIOMANAGEMENTEPORTFOLIOMANAGEMENTSSEPORTFOLIOMANAGEMENTSSSSSSRISKSSSSSSSS【梦轩考 Frameworkof

专业提供CFAFRM全程+讲ReadingReading21 ePortfolioManagement–Part

【梦轩考 专业提供CFAFRM全程+讲Bondportfoliomanagement:AnBenarkandBondAligningRiskDedicationStrategy1–DedicationStrategy2–CashFlowReturnneed【梦轩考 ReturnneedBondPortfolioIntroductiontoBondPortfolioTheTheSettheSettheDeveloptheportfolioMonitorMakeBondPortfolioPortfolioPerformancePerformanceMustconsider5-【梦轩考 专业提供CFAFRMBondPortfolioTherearetwotypesofinvestorbasedoninvestmentobjectives.Thefirsttypeofinvestordoesnothaveliabilitymatchingasaspecificobjective.Thesecondtypeofinvestorhasliability(orsetofliability)thatneedtobemet.UsingBondIndexas AgreewiththemarketPassiveAsuperiorabilitytoforecastoridentifytheunder-value AgainstasingleAgainstasetof6-【梦轩考 BondPortfolio

专业提供CFAFRM全程+讲OptionalityexposuretoOptionalityexposuretochangeincashflowsduecall/putmeasure:portfolioSpreadriskexposuretochangesinspreadsbetweenTreasuriesandnon-TreasuriesCreditexposuretodowngradesanddefaultsmeasure:contributiontodurationbycreditratingInterestraterisk*exposuretoaparallelshiftinthetreasuryyieldcurvemeasure:portfolioYieldcurverisk*exposuretoatwistinthetreasuryyieldcurvemeasures:keyratedurations,PVdistributionofcashflow**=primaryrisk7-【梦轩考 专业提供CFAFRM全 +讲 ark&BondIssueswithenhancedSelectionofCostlyIssueswithenhancedSelectionofCostlyPurebondEnhancedindexing/matchingprimaryriskActivefundmanagement/full-blownTransactioncosts(no.ofIncreasingalphatrackingBalancebetweencosts(#bonds)andCellmatching/stratifiedMulti-factormodeltominimizetrackingEnhancedindexingReducedinitiationIssueYieldcurveSectorandqualityCallexposureAdvantagesofpassive(1-3)vs.active(4&5)NoneedtomakeindependentLowermanagementfees,notpayingforexpensiveTypicallylessfrequenttrading,hencetransactionLowtracking8-【梦轩考 专业提供CFAFRM全 +讲BondIndexingStrategyActiveExpectedPure Full-blownactiveIncreasingactiveIncreasingexpectedIncreasingtracking9-【梦轩考 专业提供CFAFRM全 +讲BondIndexingStrategyPurebondEnhancedindexingbymatchingprimaryriskEnhancedindexingbysmallriskfactorsActivemanagementbylargerriskfactors10-【梦轩考 Stratified

专业提供CFAFRM全程+讲StepSeparatethebondsintheindexintocellsinamatrixaccordingtoStepMeasurethetotalvalueofthebondsineachofcellsandgeteachcell’sweightintheindexStepSelectasampleofbondsfromeachcellandpurchasetheminanamountthatproducesthesameweightintheportfolioasthatcell’sweightintheStratifiedNotrequirethecompositionoftheportfoliotoberepresentativeoftheButrequiretheriskfactorexposuresexactlythe11-wmki.omaQ04582CARMmanagementPure1.Trackstheindex(zeroorverylowtrackingerror)2.Sameriskfactorexposuresastheindex3.LowadvisoryadministrativeCostlyanddifficulttoLowerexpectedreturnthantheEnhancedindexingbymatchingprimaryriskfactorsLesscostlytoIncreasedexpectedreturn3.Maintainsexposuretotheindexsprimaryrisk1.Increasedmanagementfeesabilitytotracktheindex(i.e.,increasedtrackingerror)、3.LowerexpectedreturnthantheindexEnhancedbysmallrisk1.SamedurationasIncreasedexpectedReducedmanager1.Increasedrisk2.Increasedtracking3.Increasedmanagementbylargerriskfactor1.Increasedreturn2.Reducedmanagerportfolioduration1.Increasedrisk2.Increasedtracking3.IncreasedmanagementFullblownIncreasedexpectedFewifanymanager3Nolimitson1.Increasedrisk2.Increasedtracking3.Increasedmanagement12-PAGE【梦轩考 SelectingBond

专业提供CFAFRM全程+讲MarketvalueeA estream,thenthelongermaturityofthebenCreditCloselymatchthecreditriskofthe【梦轩考 SelectingBond

专业提供CFAFRM全程+讲CriteriaforSelectinga Marketvaluerisk–greater(less)riskaversionimpliesashorter-term(longer-term)ben erisk–ifinvestorsaremore(less)concernedwithe,thenlong(short)portfolioswouldbeconsideredlessCreditrisk–shouldaddressanyIPSqualityLiabilityframeworkrisk–ben arksshouldmatchliabilityexposure;ifnone,greaterflexibilityindecisionmakingRisksRisksinherentinthisapproachInterestrateCallrisk(fundingsourcesareCaprisk(cappedfloatingrateassets;risinginterestCritiquetwwmxaoi.om 482CFFM Bondsecuritiesareheterogeneousandilliquid.Issueshaveuniquedifferencesinmaturity,seniorityandotherfeatures.Manyissuesdonottraderegularly,pricingdataisbasedonappraisals,tradesareoftennotpubliclyreported.Issuancesintheindexhavedifferentcharacteristics,therecanbeTheriskcharacteristicscanchangequicklyovertimeasbondsareaddeddeletedfromtheThe“Bums”problemGreatindexweightinlargeissuancebyanissuerleadingtoexcessiveleverageandsubsequentcreditItcanbedifficulttofindanindexthatmatchestheirrisk15-【梦轩考 专业提供CFAFRM全程+讲AligningRisk16-【梦轩考 Interestraterisk–DurationMacaulay

专业提供CFAFRM全 nnMacaulayDuration(specificperiod)t dP/PMacaulay1EffectiveDurationPyModifiedEffectiveduration(option-adjustedAboutdurationParallelshiftintheyield17-【梦轩考 专业提供CFAFRM全 Interestraterisk–DurationPortfolio’seffectiveDDP1D12D23D3 iBondPortfolioofBrandonMarketValue($ABC?ThedurationofMason'sportfolioDPwADAwBDB 374.5426.0217.8 18-【梦轩考 Interestraterisk–DurationDurationContributionContributionofbondiwiDollarDDDDModifiedDurationyPortfolio’sdollar

专业提供CFAFRM全 DDDDPDDiDD1DD2n19-【梦轩考 专业提供CFAFRM全 +讲Example:DurationAssumeyouhavea10-yearcorporatebondinanactivelymanagedportfolio.Thebondhasamarketvalueof$5millionandadurationof4.7,andtheportfoliohasatotalvalueof$20million.CalculatethecontributionofthecorporatebondtotheoveralldurationoftheportfolioThecontributionofthecorporatebondtothedurationofthemanagedportfoliocontributiontoportfolioduration=($5million/$20million)×4.7=20-【梦轩考 专业提供CFAFRM全 +讲Example:DollarConsiderabondthatistradingat95withadurationof7.0.Calculatethechangeinvaluefora100basispointchangeininterestrates.Notethatsinceweareinterestedonlyintheamountofthechangeinvalue,ineitherdirection,wecanignorethenegativesignthatisusuallyinfrontofthedollardurationThedollarduration(i.e.,changeinvaluefora100basispointmoveinis(7)(0.01)($95)=21-【梦轩考 专业提供CFAFRM全 +讲Example:ContributiontoportfoliodollarAssumeyouhavea10-yearcorporatebondinanactivelymanagedportfolio.Thebondhasamarketvalueof$5millionandadurationof4.7.Theportfoliohasatotalvalueof$20millionandadurationof6.8.Calculatethecontributionofthecorporatebondtothedollardurationoftheportfolio.Thedollardurationoftheportfolioandbond(assuminga100bpchange)DD=DDP=($20million)(6.8)(0.01)=DDB=($5million)(4.7)(0.01)=Thebondcontributes$235,000totheportfoliodollardurationof$1.36orabout17.3%oftheportfoliodollar22-【梦轩考 专业提供CFAFRM全 +讲Interestraterisk–DurationAdjustingdollarCalculatingthenewdollardurationoftheCalculatingtherebalancingratioanduseittogettherequiredchangeinthevalueoftheKeypointsinthiscalculationRebalancingratio=oldDD/newAdjusteachbond’svalueinportfoliooronlyadjusttheonewiththe23-【梦轩考 专业提供CFAFRM全 +讲Example:ReestablishingthePortfolioDollarAportfoliowithadollardurationof$162,658consistsoffourbondswithOneyearlater,theyieldcurvehasshiftedupwardwiththefollowing24-【梦轩考 专业提供CFAFRM全 +讲Example:ReestablishingthePortfolioDollarrebalancingratio=old 16658new 25-【梦轩考 专业提供CFAFRM全 +讲Example:ReestablishingthePortfolioDollarAlternatively,themanagercouldselectoneofthebondstouseasacontrollingposition.SincethedollardurationhasfallendramaticallyandBond1hasthelongestduration,themanagercoulduselessadditionalcashbyincreasingonlytheholdinginBond1(i.e.,usingBond1asthecontrollingposition):26-【梦轩考 专业提供CFAFRM全 +讲Example:ReestablishingthePortfolioDollarThus,insteadofinvesting$1,802,580inallthebonds,themanagercouldpurchaseanother$1,354,007(=$2,312,507–$958,500)ofBond1andreturntheportfoliodollardurationbacktoitsoriginallevel.27-PAGE【梦轩考 Rebalancing

专业提供CFAFRM全程+讲Wehaveconstructedaportfolioconsistingofthreebondsinequalparof$1,000,000each.ThemarketvalueincludesaccruedMarketDollarBondBondBondDollarWenowmoveforwardoneyearandincludeashiftintheyieldMarketDollarBondBondBondDollar【梦轩考 Rebalancing

专业提供CFAFRM全程+讲Theportfoliodollardurationhaschangedfrom$111,945toOurrequirementistomaintaintheportfoliodollardurationatthe111,945/82,579=Rebalancingrequireseachpositiontobeincreasedby35.6%.ThecashrequiredforthisrebalancingiscalculatedasCashrequired=0.356*($1,023,704+1,004,770+1,002,458)【梦轩考 专业提供CFAFRM全 +讲Yieldcurverisk1–KeyratedurationYieldcurveriskYieldcurveriskcanbemeasuredbychangingthespotrateforaparticularkeymaturityanddeterminingthesensitivityofasecurityorportfoliotothischangeholdingthespotratefortheotherkeymaturitiesconstantThesensitivityofthechangeinvaluetoaparticularchangeinspotratecalledrateWhenfocuseson11keymaturitiesofthespotratecurve,thesedurationsarecalledkeyrateThespecificmaturitiesonthespotratecurveforwhichakeyratedurationismeasuredare3months,1year,2years,3years,5years,7years,10years,15years,20years,25years,and30yearsChangesinratesbetweenanytwokeyratesarecalculatedusinga30-【梦轩考 专业提供CFAFRM全 +讲Yieldcurverisk1–Keyrateduration2-year16-year30-yearІⅡ2-20016-0030-00PortfolioD(1)=(50/100)×2+(0/100)×0+(50/100)×0D(2)=(50/100)×0+(0/100)×16+(50/100)×0D(3)=(50/100)×0+(0/100)×0+(50/100)×30Effectiveduration=(50/100)×2+(0/100)×16+(50/100)×30=31-【梦轩考 专业提供CFAFRM全 +讲Yieldcurverisk1–KeyratedurationScenario1:Allspotratesshiftdown10basisScenario2:The2-yearkeyrateshiftsup10basispointsandthe30-yearshiftsdown10basisScenario3:The2-yearkeyrateshiftsdown10basispintsandthe30-yearshiftsup10basisConsequently,forPortfolioІinscenario2weChangeinportfolio’svaluedueto2-yearkeyratechange-Changeinportfolio’svaluedueto30-yearkeyrate ChangeinportfoliovalueScenarioScenarioScenarioІ-Ⅱ32-【梦轩考 专业提供CFAFRM全 +讲Yieldcurverisk2–PVDPVDPresentvaluedistributionofcashflowoftheindexusedasthe PVDmeasurestheproportionoftheindex’stotaldurationattributablecashflowsfallingwithintheselectedtime33-Step1wiPV(Step1wiPV(CFi)TPV(CFStep2DurationCiDurationiStep3TotalDurationCStep4Yieldcurverisk2–PVD34-【梦轩考 专业提供CFAFRM全 +讲Spreadrisk–SpreadSpreadsNominalspread,Zero-volatilityspread,SpreaddurationFornon-Treasurysecurities,theyieldisequaltotheTreasuryyieldplusaspreadtotheTreasuryyieldcurve.Non-Treasurysecuritiesarereferredtoasspreadproducts.TheriskthatthepriceofabondchangesduetochangesinspreadsisreferredtoasspreadriskAmeasureofhowaspreadproduct’spricechangesifthespreadsoughtthemarketchangesiscalledspreadParallelchangeParallelchangeinDurationisthechangeforallbonds,includingParallelchangeinspreaddurationisjusttheincreaseinriskaversion,returnoftreasurydoesnot35-【梦轩考 专业提供CFAFRM全 +讲Example:SpreadComputethespreaddurationforthefollowingSpreadSpread*Spreaddefinedintermsofspreadduration=0.30(0)+0.40(3.41)+0.30(5.89)=Interpretation:IftheOASofeachsectorincreasesby100basispointswithnochangeinTreasuryyields,thevalueoftheportfoliowilldecreasebyapproxima y3.13%.36-【梦轩考 专业提供CFAFRM全 +讲Example:SpreadKirstenRadomski yzesspreadduration(basedonOAS)forSAMAdvisors, efirm.oneofhersmallerportfoliosconsistsof$5millioninU.S.treasuriesand$10millionofcorporatebonds.Iftheportfolio’sspreaddurationis5.6,thespreaddurationofthecorporatebondsisclosestto:37-PAGE【梦轩考 Otherriskfactors

专业提供CFAFRM全程+讲SectorandqualitySectordurationQualityspreaddurationSector/coupon/maturitycellIssuer【梦轩考

专业提供CFAFRM全程+讲TotalReturn:StepsforTotalReturn:StepsforComputehorizonpriceoftheComputetheendofperiodvalueofSubtractborrowingcostsifComputesemi-annualtotalComputetotalannualreturn(CompoundforEAR,doubleforBEY) 【梦轩考 专业提供CFAFRM全 +讲Example: Considera7-year,10%semiannual,$100parcorporatebond.Thebondispricedtoyield9%($105.11),anditisassumedthatcouponscanbereinvestedat7%overthe1-yearinvestmenthorizon.Theyieldcurveisexpectedtoremainflatatitscurrentlevel.However,issue’screditspreadisexpectedtochange,butbyanunknownThus,themanagerhasoptedtousetotalreturn ysisinascenario frameworktoassesstherangeofpotential esandhasgeneratedtheinformationinthefigurebelow.40-PAGE【梦轩考 专业提供CFAFRM全程+讲Example:Scenario【梦轩考 专业提供CFAFRM全程+讲Example:Scenario【梦轩考 专业提供CFAFRM全程+讲DedicationStrategy1–Classic【梦轩考 专业提供CFAFRM全 +讲OverviewofClassicObjective:LockinaminimumtargetrateofreturnandtargetanvalueregardlessofhowinterestrateschangeoveraninvestmentRiskwheninterestratesReinvestmentInterestrateorpriceAssumption:Parallelshiftintheyieldcurve(i.e.allyieldsriseand44-【梦轩考 专业提供CFAFRM全 +讲OverviewofClassicScenario1:Interestrates eValueofportfolioofbondswithdurationgreaterthanhorizondecreasesinResult:Gainin e≤lossinportfolioScenario2:Interestrates eValueofportfolioofbondswithdurationgreaterthanhorizonincreasesinResult:Lossin e≤gaininportfolio45-【梦轩考 专业提供CFAFRM全 +讲ClassicImmunizationClassicImmunizationcanbedefinedastheprocessbywhichabondportfolioiscreatedtohaveanassuredreturnforaspecifictimehorizonirrespectiveofinterestrateTostructureaportfoliothatbalancesthechangeinthevalueoftheportfolioattheendoftheinvestmentthereturnfromthereinvestmentofportfoliocashImmunizationoffsetsinterestratereinvestment46-【梦轩考 专业提供CFAFRM全 +讲ClassicImmunizationSelectabondorabondportfoliowithaneffectivedurationequaltodurationoftheSetthePVofthebondortheportfolioequaltothePVoftheIfthedurationnotequaltoIfportfolioduration<liabilityduration,theportfolioisexposedreinvestmentIfportfolioduration>liabilityduration,theportfolioisexposedtopriceInterestratesfluctuatemorethanTimeImmunizationrisk

Notbuyandbutatrade-Arbitrary(Non-parallel)changesininterest47-【梦轩考 专业提供CFAFRM全 +讲ClassicImmunizationImmunizationUsingzero-couponbond→noimmunization48-【梦轩考 专业提供CFAFRM全 +讲Example:immunizationAninvestorwishestoimmunizeasingleliabilitypaymentthatwilloccursixyearsfromtoday.whichofthefollowingportfoliosmostlikelyhastheleastimmunizationrisk?A.A12-yearannuallycompoundedcouponbondwithdurationofsixB.50%investedina2-yearzero-couponbondand50%investedina10-zero-couponC.50%investmentina5-yearzero-couponbondand50%investmentinayearzero-coupon49-【梦轩考 专业提供CFAFRM全 +讲ExtensionofClassicThefirstapproachhasbeentomodifythedefinitionofdurationsoastofornonparallelyieldcurveshifts,suchaskeyrate inglimitationsofafixedhorizon.MultipleliabilityThethirdextensionofclassicalimmunizationtheoryis yzetheriskreturntrade-offforimmunizedportfolios. Thefourthextensionofclassicalimmunizationtheoryistointegrateimmunizationstrategieswithelementsofactivebondportfoliomanagementstrategies.Contingentimmunization.50-【梦轩考 DedicationStrategy

专业提供CFAFRM全程+讲51-【梦轩考 专业提供CFAFRM全 +讲Example:ContingentYouhavedecidedtopursueacontingentimmunizationstrategyovera3-yeartimehorizon.Youjustpurchasedatpar$20millionworthof9%,semiannualcoupon,15-yearbonds.Thecurrentrateofreturnforimmunizedstrategiesis9%,andyouarewillingtoacceptareturnof8%(thisisthesafetynetreturn).Computetherequiredterminalvalueandtherequiredassetsneededat yrisetoThecushionspreadis1%[i.e.,thedifferencebetweenthecurrentrateofreturnonimmunizedstrategies(9%)andthereturnyouarewillingtoacceptNextwedeterminetherequiredterminalvalueusingthesafetynetreturnandtherequiredassetsneededatinitialimplementation.52-【梦轩考 专业提供CFAFRM全 +讲Example:ContingentStep1:$20million1.046Step2:Assetsrequiredatimplementation,assumingyoucaninvestatimmunizedrateofassetsrequired=$25,306,380OnyourfinancialFV=$25,306,380;N=6;I/Y=4.5;PMT=0;CPT→Thisistheminimumlevelofassetsneededtodaytoachievetherequiredterminalvalueiflockedinattheimmunizedrate.hence,theinitialdollarsafetymarginis:$20million–$19,432,661=53-【梦轩考 专业提供CFAFRM全 +讲Example:ContingentStep3:CalculatethecurrentvalueoftheportfolioattheimmunizationUsingyourfinancialPMT=($20,000,000)(0.045)=$900,000;N=30;I/Y=12/2=6%;=$20,000,000;CPT→PV=Thepriceofthebondportfoliowillfallto$15,870,551asaresultofrateincrease(remember,thisisa15-yearbond:N=3054-【梦轩考 专业提供CFAFRM全 +讲Example:ContingentStep4:Calculatethevaluenecessarytofundtheminimumtargetvaluerequiredterminalvalue(fromStep1)=assetsrequired=$25,306,380Sincethecurrentportfoliovalueislessthantheamountnecessaryfundtheminimumtargetvalue(i.e.,thedollarsafetymarginis55-【梦轩考 专业提供CFAFRM全 +讲ContingentImmunizationKeyconsiderationsIdentifyingasuitableandimmunizablesafetynetImplementinganeffectivemonitoringproceduretoensurethatthesafetynetreturnisnotviolatedUnderstandingthecontingentimmunizationActiveSafetynetreturn

Classic→MinContingentimmunizationMax56-【梦轩考 专业提供CFAFRM全 +讲ContingentImmunizationThefrequencyofrebalancingThedifferencebetweenthesafetynetreturnandcurrentmarketLowsafetynetreturn→infrequentHighsafetynetreturn→littleopportunityforactiveTwofactorscauseeffectivemonitoringfailThelackofassurancethattheimmunizationratewillbe57-【梦轩考 专业提供CFAFRM全 +讲ContingentImmunization–exampleIfafirmhasathree-yearinvestmenthorizonoverwhichitmustearn3%anditcanimmunizeitsassetportfolioat4.75%,themanagercanactivelymanagepartoralloftheportfoliountilitreachesthesafetynetrateofreturnof3%.Thedifferencebetweenthe4.75%and3%safetynetreturniscalledtheIfthemanagerstartedwitha$500mportfolio,afterthreeyearstheneedstogrowto:$500*(1+3%/2)6=Attime0,theportfoliocanbeimmunizedat4.75%,whichimpliesthatrequiredinitialportfolioamount:546.72/(1+4.75%/2)6=Themanagerthereforehasaninitialdollarsafetymarginof$500m-=58-【梦轩考 专业提供CFAFRM全 +讲ContingentImmunization–exampleIfthemanagerinveststheentire$500min4.75%,10-yearnotesatparandYTMimmediaychanges,whatwillhappentothedollarsafetyIftheYTMsuddenlydropsto3.75%,thevalueoftheportfoliowill$541.36m.Theinitialassetvaluerequiredtosatisfytheterminalvalue$546.72at3.75%YTMis$489.06m,sothedollarsafetymarginhasgrownto$541.36–489.06=$52.3m.Themanagermaythereforecommitalargerproportionofherassetstoachievemanagement.IftheratesrisesothatYTMisnow5.8%,theportfoliovaluewill$460.55mandtheinitialassetvaluerequiredwillbe$460.52m.Thedollarsafetymarginhasgonetozero,andthustheportfoliomustbeimmunized 59-【梦轩考 DedicationStrategy

专业提供CFAFRM全程+讲60-【梦轩考 专业提供CFAFRM全 +讲MultipleLiabilitiesThekeytoimmunizingmultipleliabilitiesposetheportfoliopaymentstreams yimmunizeeachofmultipleParallelrateAssetandliabilityhavethesameAssetandliabilityhavethesameaggregateTherangeofthedistributionofdurationsofindividualassetsintheportfoliomustexceedthedistributionofliabilities61-【梦轩考 专业提供CFAFRM全 +讲MultipleLiabilitiesGeneralcashGeneralcashflowsinthiscasereferstousingcashaspartofimmunizationstrategyeventhoughthecashhasnotyetbeenLet'sassumethemanagerexpectstoreceiveacashflowinsixmonths.Treatingthislikeazero,thedurationis0.5.Toconstructtheportfoliotoimmunizealiabilityduein1.5yearswithadurationof1.0,themanagercouldcombinethecashtobereceivedwithanappropriateamountofbondswithdurationsgreaterthan1.0,sothattheconditionsforimmunizationaremet,includingaweightedaverageportfoliodurationof1.0.62-PAGE【梦轩考 CashFlowMatching

专业提供CFAFRM全程+讲StepStep【梦轩考 CashFlowMatchingStepStep

专业提供CFAFRM全程+讲Step【梦轩考 Combination

专业提供CFAFRM全程+讲Combinationmatching,alsoknownashorizonmatching,isacombinationDuringthefirstfewyears,theportfoliowouldalsobecashflowmatchedinordertomakesurethatassetswereproperlydispersedtomeetthenear-termCombinationmatchingoffersthefollowingadvantagesovermultiple-ProvidesliquidityintheinitialReducestheriskassociatedwithnonparallelshiftsintheyieldcurve,usuallytakeplaceintheearlyTheprimarydisadvantageofcombinationmatchingisthatittendstobeexpensivethanmultiple-liability【梦轩考 Frameworkof

专业提供CFAFRM全程+讲Reading21 ePortfolioManagement–Part

【梦轩考 专业提供CFAFRM全 GlobalCreditBondRelative 9Total Primary Liquidityand Secondarytradingrationalesand Credit Asset 【梦轩考 专业提供CFAFRM全程+讲GlobalCreditBond【梦轩考 专业提供CFAFRM全 +讲Relative RelativeValueTherankingof einvestmentsbysectors,structures,issuers,andissuesintermsoftheirexpectedperformanceduringsomefutureperiodofClassicRelative- ysistop-downToformviewsonlarge-scaleeconomicandindustryFocusesonindividualissuersandissuesthatwilloutperformtheirpeer69-【梦轩考 专业提供CFAFRM全 +讲RelativeValueThemainmethodologiesforcreditrelative- Total Primary Liquidityand Secondarytradingrationalesand Credit Asset 70-【梦轩考 Total

专业提供CFAFRM全程+讲Tooptimizetherisk-adjustedtotalreturnoftheircreditCreditmarketsmaydisplayregularThemacroeconomiccycleisthemajordeterminantofoverallcreditspreads.Duringrecessions,theescalationofdefaultriskwidensspreads(whichareriskpremiumsoverunderlying,presumablydefault-free, securities[orswaps])andreducescreditreturnsrelativetoTreasuries.Conversely,economicprosperityreducesbankruptciesandenhancesoverallcreditfundamentalsofmostissuers.EconomicprosperityusuallyleadstotightercreditspreadsandboostscreditreturnsrelativetoTreasuries.Strategy:studypastbondreactionstomacroeconomicchangestoproject71-【梦轩考 专业提供CFAFRM全 +讲Primary Market-StructureNewbondissues↑,spreads↓,returnNewbondissues↓,spreads↑,returnSecularProduct-structureBullet(notcallable,putableorsinkable)andintermediate-maturitystructureshavecometodominatethecreditmarket,butnotinthehighyieldmarketCreditsecuritieswithembeddedoptionshave erareandthereforedemandapremiumprice(scarcityvalue)bondswithmaturitiesbeyond20yearsareasmallshareofoutstandingcreditdebtCreditderivativeswillbemore72-【梦轩考 专业提供CFAFRM全 +讲Liquidityand LiquidityLiquidity↑,price↑,returnLiquidity↓,price↓,returnLiquidityandTradingGiveupreturn,possessgreaterSacrificeliquidity,offeragreater73-【梦轩考 专业提供CFAFRM全 +讲Secondary ysis1-ForYield/SpreadPickupyield-firstpsychology(mostcommonsecondaryCredit-Upsidewhenthedebtassetmanagerexpectsanupgradeinanissuer’screditqualitythatisnotalreadyreflectedinthecurrentmarketyieldspreadCredit-DefenseNewIssueManagersrotatetheirportfoliosgraduallyintomorecurrentandusuallylargersizedon-the-runissues;contributetosecondaryturnoverandliquiditysectororindustryexpectedtounderperformorLongterm(only)interestrate↓,shiftintolongdurationsecuritiesizethepositive74-【梦轩考 专业提供CFAFRM全 +讲Secondary ysis2-ForStructureInterestrate↓,Optionintheputisoutofmoney,PutablebondpriceInterestrate↑,buyshort-durationbondsandselllong-durationYieldspread↓,chooselonger-durationbondsandgainthemostdecreased75-【梦轩考 专业提供CFAFRM全 +讲Secondary ysis3-FornotTradingQualityconstraints(limitedtoinvestment-gradeStoryLackofconsensusbetweenbuy-sideandsell-BuyandLackofTheslowingoftradingattheendofManagersarebusywithreportsand76-【梦轩考

专业提供CFAFRM全程+讲Mean- CurrentHistorical

Large→spread↓→BuySmall→spread↑→SellSpread=10bps,butnowthespreadis15PercentageYield HistoricallevelwilldecreasePrice但没考虑：demand,supply,profitability,defaults,77-【梦轩考 专业提供CFAFRM全 +讲 ysisBulletStructures1–ShortShorttermbulletsareusedontheshortendofabarbellBarbellCorporatebondsinthefrontlongtermtreasuriesinthelongBulletStructures2–MediumMostpopularWhenthecurveispositivelysloped,20-yearstructuresareHigherLowerBulletStructures3–Long78-PAGE【梦轩考 ysis

专业提供CFAFRM全程+讲EarlyRetirementStructures1–CallableNegativeConversely,callablestructuresoutperformbulletsinbearbondmarketsastheprobabilityofearlycalldiminishes.EarlyRetirementStructures2–SinkingJustlikeakindofSellinIndiscount,whentheratesfall,thepricehasthepotentialtoNotfallasmuchcomparedtocallablesandbulletswhentheratesrise,torepurchaseeachEarlyRetirementStructures3–PutableWhenthereisastrongbeliefthatrateswillrise,theput-ablebondcanbe【梦轩考 Credit

专业提供CFAFRM全程+讲Creditcurves,bothtermstructureandcreditstructure,arealmostpositivelyManyportfoliomanagerstakecreditriskinshortandintermediatematuritiesandtosubstituteless-risky ernmentsecuritiesinlong-durationportfoliobuckets.Thisstrategyiscalledacreditbarbellstrategy.Accordingly,theapplicationofthisstrategydiminishesdemandforlonger-datedcreditriskdebtinstrumentsbymanytotalreturn,mutualfund,andbankportfoliobondmanagers.Creditspreadsincreasesharplyinthehigh-yieldratingcategories(Ba1/13B+throughD).Default,especiallyforweaksingle-BsandCCCs, esamajor【梦轩考

专业提供CFAFRM全程+讲 ysis TrendsincreditCapacitytoThequalityofthecollateralandtheTheabilitytoassessandcollectWillingnessto【梦轩考 专业提供CFAFRM全 Asset “Macro”sectorAmongindustrials,utilities,financialinstitutions,sovereigns,“Micro”sectorDetailedrisk/returnbreakdown:averagereturnandstandardMaincreditsub-sectors:banks,brokerage,energy,electrics,railroads,sovereigns,supranational,82-PAGE【梦轩考 专业提供CFAFRM全程+讲SummaryofRelativeValue【梦轩考 专业提供CFAFRM全程+讲SummaryofRelativeValue【梦轩考 专业提供CFAFRM全 +讲It’snotanendbutjusttheVictorywon'tcometomeunlessIgoto胜利不会向我走来，我必须自 胜利85-【梦轩考 专业提供CFAFRM全程+讲 ePortfolio【梦轩考 专业提供CFAFRM全 +讲TopicinCFALevelSS1-ETHICS&PROFESSIONALSSSSSSSSPORTFOLIOMANAGEMENTFORINSTITUTIONALSSSSSSASSETALLOCATIONANDRELATEDDECISIONSANDINPORTFOLIOMANAGEMENTEPORTFOLIOMANAGEMENTSSEPORTFOLIOMANAGEMENTSSSSSSRISKSSSSSSSS2-PAGE【梦轩考 Frameworkof

专业提供CFAFRM全程+讲Reading23Reading23 ePortfolioManagement–Part

【梦轩考 专业提供CFAFRM全程+讲LeverageandRepurchaseBondRiskUsing eDerivativestoCreditRiskandCreditInternationalBondPortfolioManagement1:InternationalBondPortfolioManagement2:InternationalBondPortfolioManagement3:Break- InternationalBondPortfolioManagement4:

【梦轩考

专业提供CFAFRM全程+讲LeverageeffectonreturnsBeneficialwhenr>Alsohasadownsidelosswhenr<Moreleverage,morereturnAstheinvestmentreturnincreases,thevariabilityofreturnsLeverageeffectondurationGiventhatthedurationofborrowedfundslessthanthedurationoffunds,increasedleverage,increased R[B(RPiEiDPDiIDBE【梦轩考 专业提供CFAFRM全程+讲Example:TheeffectofleverageonAportfoliomanagerhasaportfolioworth$100million,$30millionofwhichishisownfundsand$70millionisborrowed.Ifthereturnontheinvestedfundsis6%andthecostofborrowedfundsis5%,calculatethereturnontheportfolio.Thegrossprofitontheportfoliois:$100million×6%=$6Thecostofborrowedfundsis:$70million×5%=$3.5Thenetprofitontheportfoliois:$6million–$3.5million=$2.5Thereturnontheequityinvested(i.e.,theportfolio)is$2.5

【梦轩考 专业提供CFAFRM全 +讲Example:TheeffectofleverageonUsingtheoriginalexampleabove,themanager’sportfoliowasworth$100million,$30millionofwhichwashisownfundsand$70millionwasborrowed.Ifthedurationoftheinvestedfundsis5.0andthedurationofborrowedfundsis1.0,calculatethedurationontheportfolio.Thedurationcanbecalculatedwiththefollowing DiI Usingtheprovided5.0100DP

7-PAGE【梦轩考 Repurchase

专业提供CFAFRM全程+讲RepurchaseAgreementTheborrowerobtainsfundsThelenderearnsareturnmorethantherisk-freeThelenderisexposedtocreditriskTheborrowermaySellcollateral,fraudulentlyusethecollateral,orgoTherepurchaseagreementwillberestructured–4differentdeliveryphysicallydeliver:depositedinacustodialaccountattheborrower’sclearingbank.T