PPT Chapter 19 Bond Portfolio Management Strategies PowerPoint presentation
Post on: 16 Март, 2015 No Comment
Loading.
PPT Chapter 19 — Bond Portfolio Management Strategies PowerPoint presentation | free to download
Chapter 19 — Bond Portfolio Management Strategies
A manager selects a portfolio of bonds. Core-Plus Bond Portfolio Management. Dedication refers to bond portfolio management techniques that are used to. PowerPoint PPT presentation
Chapter 19 — Bond Portfolio Management Strategies
Alternative Bond Portfolio Strategies
- 1. Passive portfolio strategies
- 2. Active management strategies
- 3. Core-plus management strategy
- 3. Matched-funding techniques
- 4. Contingent procedure (structured active
management)
Passive Portfolio Strategies
- Buy and hold
- A manager selects a portfolio of bonds based on
the objectives and constraints of the client with
the intent of holding these bonds to maturity
bonds that will equal the performance of a
specified bond index
Active Management Strategies
- Interest-rate anticipation
- Risky strategy relying on uncertain forecasts
- Ladder strategy staggers maturities
- Barbell strategy splits funds between short
duration and long duration securities
based on their intrinsic value
determine expected changes in its default risk
Active Management Strategies
- High-Yield Bond Research
- Several investment houses such as Merrill Lynch,
First Boston, Lehman Brothers, etc. have
developed specialized high-yield groups that
examine high-yield bond issues and monitor
high-yield bond spreads
yields for bonds in alternative sectors
simultaneously buying a different issue in its
place with similar attributes but having a chance
for improved return
Bond Swaps
- Pure Yield Pickup Swap
- Substitution Swap
- Tax Swap
- Swap strategies and market-efficiency
- Bond swaps by their nature suggest market
inefficiency
A Global Fixed-Income Investment Strategy
- Factors to consider
- The local economy in each country including the
effects of domestic and international demand
policy on inflation and interest rates
interest rates on the exchange rates among
Core-Plus Bond Portfolio Management
- This involves having a significant (core) part of
the portfolio managed passively in a widely
recognized sector such as the U.S. Aggregate
Sector or the U.S. Government/Corporate sector.
actively in one or several additional plus
sectors, where it is felt that there is a higher
probability of achieving positive abnormal rates
of return because of potential inefficiencies
Matched-Funding Techniques
- Dedicated Portfolios
- Dedication refers to bond portfolio management
techniques that are used to service a prescribed
set of liabilities
liability stream
Matched-Funding Techniques
- Immunization Strategies
- A portfolio manager (after client consultation)
may decide that the optimal strategy is to
immunize the portfolio from interest rate changes
specified rate of return during a given
investment horizon regardless of what happens to
market interest rates
Immunization Strategies
- The process intended to eliminate interest rate
risk is referred to as interest rate risk
Classical Immunization
- Immunization is neither a simple nor a passive
strategy
rates
rates
curve
available at an acceptable price
Matched-Funding Techniques
- Horizon matching
- Combination of cash-matching dedication and
