CFA三级全景班讲义Fixed Income Analysis–pdf下载

Benchmark & Bond Index

Bond Portfolio Benchmark
1.Using Bond Index as benchmark
Agree with the market forecast
Passive management
A superior ability to forecast or identify the under-value securities
Active management
2.Using Liabilities as benchmark
Against a single liability
Against a set of liabilities

Bond Indexing Strategy 1
1.Increasing active management
2.Increasing expected return
3.Increasing tracking error
Pure Indexing Full-blown active management
Active managing
Tracking error
Expected return

Bond Indexing Strategy 2
1.Pure bond indexing
Difficult and costly
2.Enhanced indexing by matching primary risk factors
Sampling
3.Enhanced indexing by small risk factors mismatches
Tilting
4.Active management by larger risk factors mismatches
5.Full-blown active management
Advantages:
Related to the index
Tracking and Restrictions
Fees and returns
Disadvantages:
Risk
Cost
Tracking error

Early Retirement Structures 1 – Callable Bond
Negative convexity
Under-perform when the rates fall
Early Retirement Structures 2 – Sinking Funds
Just like a kind of call
Sell in discount
In discount, when the rates fall, the price has the potential to increase
Not fall as much when the rates rise, due to repurchase each year
Early Retirement Structures 3 – Put-able Bond
When there is a strong belief that rates will rise, the put-able bond can be
considered