CFA三级基础段：固定收益投资组合管理（打印版）.docx

Fixed-IncomePortfolioManagement.CFA必；絮口笺亩箸.TOM砂5t+qW%43LTOMAi.8#.婿留"笺HlS詹煽*j3%5丹V%俨LJLJ¾三S3&婢口睥秋JUUBRU*bUS.融悔4救h 匚f常口磨1品穿口ddddi皆9三W)S!狷MUb!做3$3«|D姝,ffiufeL®器daj骰知匚段77匚.鲫71,figK骰狮M业色断n11STopic in CFA Level IIISessionContentStudy Session 1-2Study Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10ETHICS & PROFESSIONAL STANDARDS &(2)BEHAVIORAL FINANCECAPITAL MARKET EXPECTAONSASSET ALLOCATION AND RELATED DEOSIONS IN PORTFOLIO MANAGEMENTDERIVATIVES AND CURRENCY MANAGEMENTFIXED-INCOME PORTFOUO MANAGEMENT (1)&(2)EQUITY PORTFOUO MANAGEMENT (1)&(2)Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16ALTERNATIVE INVESTMENTS FOR PORTFOUO MANAGEMENTPRIVATE WEALTH MANAGEMENT (1)&(2)PORTFOUO MANAGEMENT FOR INSTITUTIONAL INVESTORS TRADING, PERFORMANCE EVALAONf AND MANAGER SELECTION CASES IN PORTFOUO MANAGEMENT AND RISK MANAGEMENT FrameworkFixed-income PortfolioManagementSS7 Fixed-income Portfolio Management (1) R18 Overview of Fixed- Income Portfolio Management Rl9 Liability-Driven and Index-Based Strategies4-257三业 &|新 milOverview of Fixed-Income Portfolio Managementm业因断修值Framework1.Rolesoffixed-incomeinportfoliosDiversificationbenefitBenefitsofregularcashflowsInflationhedgingpotential2.Fixed-incomemandatesLiability-basedmandatesTotalreturnmandates3.BondmarketliquidityLiquidityamongbondmarketEffectofliquidityonportfolio号业IanmuFramework4.Modelforfixed-incomereturnsDecomposingexpectedreturnsUsingleverageMethodsforleveragingportfoliosRisksofleverageFixed-incomeportfoliotaxationPrinciplesoftaxationInvestmentvehiclesandtaxes7-257与业$新mu1.Rolesoffixed-incomeinportfoliosFixed-incomeinvestmentscanprovidediversificationbenefitswhencombinedwithotherassetclasses.Correlationcoefficient<lrbutdifficulttofindassetsmuchlowerthan1.0.Correlationcoefficient()betweenindexes:betweenUSbondmarketsinvestmentgradesub-sector=0.77-0.95(highlycorrelated).，betweeninternationalinvestment-gradebondsandUSinvestment-gradebond=0.54(significantdiversificationbenefitsexistedforincludingbothUSandnon-USbonds).8-257M业色断nnRolesoffixed-incomeinportfoliosFixed-incomeinvestmentscanprovidediversificationbenefitswhencombinedwithotherassetclasses.<isnotconstant.MarketstressperioddecreasebetweengovernmentandequityTincreasebetweenhighyieldbondandequityBonds:lessvolatilethanequityInterestratevolatilityincreasesnear-termvoIatiIity>averagevolatilityRolesoffixed-incomeinportfoliosFixed-incomeinvestmentstypicallyproduceregularcashflowstoaportfolio.Meetthefutureobligations:TuitionpaymentsPensionobligationsPayoutonlifeinsurancepoliciesApproach:ladderbondportfoliobystaggeringthematuritydatesofportfoliobondsthroughinvestmenthorizon.Balancepriceriskandreinvestmentrisk与业$新muRolesoffixed-incomeinportfoliosSomefixed-incomesecuritiescanprovideahedgeforinflation.Rnominai=Rreai+InflationrateProtectionagainstinflationCouponPrincipalFixed-couponbondsUnprotectedUnprotectedFloating-couponbondsProtectedUnprotectedInflation-linkedbondsProtectedProtectedM业色断nn2.Fixed-incomemandatesFixed-incomemandatescanbebroadlyclassifiedintoliability-basedmandatesandtotalreturnmandates.1.iability-basedmandatesarealsoreferredtoasStructuredmandatesAssetZIiabiIitymanagement(ALM)1.iability-driveninvestments(LDDTotalreturnmandatesaregenerallymanagedinanattempttoeithertrackoroutperformamarket-weightedfixed-incomebenchmark.Achievethehighestrisk-adjustedreturnsThetwotypesofmandateshavefundamentallydifferentoectives.*2.1Liability-basedmandatesUsersofliability-basedmandates:Individual:fundingcashflow&lifestyleneedsInstitution:bank,insurancecompany,pensionfundsThereare2mainapproachestoliability-basedmandates:cashflowmatching&durationmatching.Durationmatching-Immunization:AnALMapproach.Tominimizethevarianceintherealizedrateofreturnoveraknowntimehorizon.Reduceoreliminatetheriskassociatedwithachangeinmarketinterest13-257rtes.与业$新mn2.1Liability-basedmandates1.iability-basedmandates:keyfeaturesDurationmatchCashflowmatchYieldcurveassumptionParallelyieldcurveshiftsNoneMechanismRiskofshortfallincashflowsisminimizedbymatchingdurationandpresentvalueofliabilitystreamBondportfoliocashflowsmatchliabilitiesBasicprincipleCashflowscomefromcouponandprincipalrepaymentsofthebondportfolioandoffsetliabilitycashflowsCashflow,couponandprincipalrepaymentsofthebondportfoliooffsetliabilitycashflowsRebalancingFrequentrebalancingrequiredNorequiredbutoftendesirableComplexityHighLow14-257写业/新mn2.1Liability-basedmandatesContingentimmunizationWhen'valueofassetportfolio">"presentvalueofliability"surplusallowedtoactivelymanagetheassetportfolioWhenactivelymanagedportfolio<specifiedthreshold-*activemanagementceasesHorizonmatchingCashflowmatching(short-termliability,<=4-5years)+durationmatching(long-termliability)Aninvestorislookingtoimmunizeasingleliability,butisconcernedwiththeimpactfromyieldcurveshiftsandtwists.Whenattemptingtoimmunizethisliability,whichofthefollowingrulesshouldtheinvestorapply?A.TheportfolioMacaulaydurationshouldmatchtheduedateoftheliability.B.Thedispersionofassetcashflowsaroundtheliabilityshouldbemaximized.C.Thepresentvalueofliabilitiesshouldexceedtheinitialportfoliomarketvalue.M业固新0值CorrectAnswerA.Rulesforimmunizingasingleliabilityincludethefollowing:Initialportfoliomarketvalue(PVA)equals(orexceeds)PVLPortfolioMacaulaydurationmatchestheduedateoftheliability(Da=Dl).17-257Minimizeportfolioconvexityi(tominimizedispersionofassetcashflowsaroundtheliabilityandreducerisktocurvereshaping).M业HfjmnWhichofthefollowingstatementscorrectlydescribescontingentimmunization?A.ItUSeSTreasuryfuturescontractstoadjusttheportfolioandmaintaindurationmatching.B.Itconstructsaportfolioofzero-couponbondsthatprovideenoughcashinflowstomeetliabilities.C.Itusesactivebondportfoliomanagementaslongasthepresentvalueofassetsexceedsthepresentvalueofliabilities.Correct Answer: C.Contingent immunization is a hybrid active/passive strategy. It requires initially overfunding the portfolio with more assets than needed to immunize and meet the future liability.As long as that surplus is of sufficient size, the portfolio can be actively managed. A derivatives overlay uses Treasury futures contracts to adjust the portfolio. Cash flow matching creates a portfolio of zero-coupon bonds to match cash inflows with cash outflows.19-257M业固新»« Overview of Classic Immunization Risk when interest rates changeReinvestment risk;Interest rate or price risk.AssumptionParallel shift in the yield curve (i.e. all yields rise and fall uniformly).20-257M业&新mn Classic Immunization口播ImmunizationofasingleobligationSelectabondorabondportfoliowithaneffectivedurationequaltothedurationoftheliability;SetthePVofthebondortheportfolioequaltothePVoftheliability.IfthedurationnotequaltoIfportfolioduration<liabilityduration,theportfolioisexposedtoreinvestmentrisk;Ifportfolioduration>liabilityduration,theportfolioisexposedtopriceriskImmunizationceasewhenInterestratesfluctuatemorethanonce;Timepasses.ImmunizationriskArbitrary(NonparaIIeI)changesininterestrates. Immunization riskUsing zero-coupon bond T no immunization risk摘Bt*lf<>M> A HlNhnA nmunAi 尸NIfalm Ptartfoiio cash nowT0THCurreat daleH<czon &rteBarbell strategyNof Pwlfdio duntkm tnaicM ho< length P<wiN*o,* CaMh flew* dipcrt<dKxtfoiio B L*m rk UninImlIed PlXtfog <tfolio <asb f¼*T0THCanvM d*Hocizu <bePufttbM) JurMiiMi mMche% h<»riaxi kngth. PuiTfulio't cash fl<>w conen(jfed aj<>und horizon dates.Bullet StrategyConvexity 斜 optionconvexityMac. Duration2 Mac. DurationDispersion(leash flow yield) 2与业$新mnMultipleLiabilitiesImmunizationThekeytoimmunizingmultipleliabilities.DecomposetheportfoliopaymentstreamsseparatelyimmunizeeachofthemultipleliabilitiesThefollowingconditionsshouldbesatisfied.ParallelrateshiftAssetandliabilityhavethesamePVAssetandliabilityhavethesameaggregatedurationsTherangeofthedistributionofdurationsofindividualassetsintheportfoliomustexceedthedistributionofliabilities23-257M业色断nn"CashFlowMatchingar:S-yearliability山earnClUh flow from Bond A Mkcted to satisfy L Coupuat A Principal * .Ar and Ac 、 JUnhlnded IiAbilities retMininf l1-½- Ll-A l4-O 123Cath w from Bond B XleCted Io Mthfy JLHifundcd liability L<-AcCoupoas Bc; Princd B, aod Bc .Bp-J-Ac Unfunded Ufthiliues remaining.L Ac Bc Lj-Ar-Bc L j BcUnfUnded LaAtfiiyUnfundrd LubiliryTimeCashflowfrombondsareannual. Cash Flow MatchingSteP 3 Cgh w from Bond C selected to satisfy L)Unfunded liability Lj - Ac - BcCoupons Cc; Principal * CP and Cc + Cp Lj - A - Bc Unfunded liabilities remaining：LLAt = BQ LLAt-BJqUnfunded Lubdlty-Time-摘Step 4 Cmh ow from Bond D selected to Mtfy L2Unfunded UabUhy-Im-Ac-Bc-CcCoupons Qc; Principal DP and Dc + Dp Lj Ac Bc Cc UnfUnded Iiabiiities remaining:UnfiInded LiabiliiyTimeSelectBondEwithacashflowOfLI-AC-BC-CC-DC与业$新mnContingentImmunizationKeyconsiderations.EstablishingwelldefinedimmunizedinitialandongoingavailabletargetreturnsIdentifyingasuitableandimmunizablesafetynetreturnImplementinganeffectivemonitoringproceduretoensurethatthesafetynetreturnisnotviolatedUnderstandingthecontingentimmunization.Active managing Safety net returnImmunizationClassicimmunization3'Min(Risk)O、ContingentimmunizationfMax(Return)M业色断n11口播ContingentImmunizationThefrequencyofrebalancing.Thedifferencebetweenthesafetynetreturnandcurrentmarketinterestrate1.owsafetynetreturnTinfrequentrebalanceHighsafetynetreturnTlittleopportunityforactivemanagementTwofactorscauseeffectivemonitoringfail.AdversemovementstooquicklyThelackofassurancethattheimmunizationratewillbeachieved2.2TotalreturnmandatesTotalreturnapproach:keyfeaturesPureindexingEnhancedindexingActivemanagementObjectiveMatchbenchmarkreturnandriskascloselyaspossibleModestperformance(20-30bp)ofbenchmarkwhileactiveriskiskeptlow(around50bporlower)Higheroutperformance(50bpormore)ofbenchmarkandhigheractiverisklevelsPortfolioweightsSameasbenchmarkoronlyslightmismatchesSmalldeviationsfromunderlyingbenchmarkSignificantdeviationsfromunderlyingbenchmarkRiskRiskfactorsarematchedexactlyMostprimaryriskfactorsarecloselymatched(duration)Deviationsfrombenchmark(duration)TurnoverSimilartounderlyingbenchmarkSlightlyhigherthanunderlyingbenchmarkConsiderablyhigherturnoverthantheunderlyingbenchmarkM业固新»«圜圜Afixed-incomeportfoliomanagerisseekingtooutperformtheBarclaysCapitalAggregateBondIndex.Whichofthefollowingstatementsmostaccuratelydescribesapureindexingstrategyforachievingthetotal-returnmandate?Purebondindexing:A.allowslargedeviationsfromtheriskfactorsoftheindexandseeksahighactivereturn.B.matchesdurationtotheindex,butsomeriskmismatchesofsectorsandqualityareallowed.C.seekstoexactlymatchalltheriskfactorsoftheindexwhileallowingthemanagersomeleewayontheindividualbondsselected.29-257Correct Answer C.M业&新mnPureindexingattemptstoreplicatetheperformanceofabondindex.Itseekstoexactlymatchalloftheriskfactorsoftheindexwhilestillallowingthemanagersomeleewayontheindividualbondsselected.Enhancedindexingallowssomeadditionalflexibilityinconstructingtheportfolioandseekstoaddsomemodestactivereturn.Activemanagementallowsmuchlargerdeviationsfromtheriskfactorsoftheindexandseeksgreateractivereturn.摘BondPortfolioRiskFixed-IncomePortfolioRisksSpreadsk*ExposuretochangesinspreadsbetweenTreasuriesandno-TreasunesMeasure:spreaddurationInterestraterisk*Measure:portfoliodurationExposuretoaparallelshiftinthetreasuryyieldcurveYieldcurverisk*ExposuretoatwistinthetreasuryyieWcurveMeasures:keyratedurations,PVdistributionofcashflowCreditriskExposuretodowngradesanddefaultsMeasure:contributiontodurationbyCreditrating*=primaryriskfactorOptionalityriskExposuretochangeincashflowsduetoCall/putfeaturesMeasure:portfoliodelta31-257M业固新»«QIdentifytheapproach(pureindexing,enhancedindexing,oractivemanagement)thatismostlikelyusedbyeachfund,andsupportyourchoicesbyreferencingtheinformationinExhibitRisk&ReturnCharacteristicsFundXFundYFundZBloombergBarclaysGlobalA9gregateIndexAveragematurity(years)8.618.359.458.34Modifiedduration(years)6.376.357376.34Averageyield(%)1.49L421.551.43Convexity0.650.600.720.60QualityAAA41.1041.2040.1141.24AA15.3215.1314.1515.05A28.0128.5129.3228.78BBB14.5314.5115.2314.55BB0.590.551.020.35Notrated0.450.100.170.0532-257M业&新mnExample圜Risk&ReturnCharacteristicsFundXFundYFundZBloombergBarclaysGlobalAggregateIndexMaturityExposure0-3years21.4321.6719.2021.803-5years23.0124.1722,2124.235-10years32.2331.5535.2131.6710+years23.3322.6123382230CountryExposureUnitedStates42.5539.4435.1139.56Japan11.4318.3313.3318.36France7.106.116.016.08UnitedKingdom3.445.874.335.99Germany6.705.234.505.30Italy4.804.014.434.07Canada4.443.125.323.15Other19.5417.8926.9717.49圜CorrectAnswerFundYmostlikelyusesapureindexingapproachbecauseitprovidestheclosestmatchtotheBloombergBarclaysGlobalAggregateIndex.TheriskandreturncharacteristicsarealmostidenticalbetweenFundYandthebenchmark.Furthermore,quality,maturityexposure,andcountryexposuredeviationsfromthebenchmarkareveryminor.34-257M业固新»«圜CorrectAnswer35-257Correct AnswerFundXmostlikelyusesanenhancedindexingapproach.FundX'smodifieddurationandconvexityareveryclosetothoseofthebenchmarkbutstilldifferslightly.TheaveragematurityofFundXisslightlylongerthanthatofthebenchmark,whereasFundX'saverageyie,disslightlyhigherthanthatofthebenchmark.FundXalsohasdeviationsinquality,maturityexposure,andcountryexposuresfromthebenchmark,providingfurtherevidenceofanenhancedindexingapproach.Someofthesedeviationsaremeaningful;forexample,FundXhasarelativelystrongunderweightinJapan.圜M业&新mnFundZmostlikelyusesanactivemanagementapproachbecauseriskandreturncharacteristics,quality,maturityexposure,andcountryexposurediffermarkedlyfromtheindex.Thediffer