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1、CTCOTqos一 ftw一 m&友寄aIW+灵l8吟 O-皿回暮妈滕)I!00一uE6euBIl -lodEOUUTPX1ZDecomposeexpectedreturnsAExaminingthesecomponentsleadstoabetterunderstandingofthedrivingforcesbehindexpectedreturns.AExpectedreturnsE(R)canbedecomposed.E(R)yieldincome+rolldownreturn+E(changeinpricebasedoninvestorsviewyieldsandyieldsprea
2、ds)-E(creditlosses)+E(currencygainsorlosses)/Onlyapproximately;/Betterunderstandtheirowninvestmentpositions;/Appliedtoanannualperiod;/Notreflecttaxes.YieldincomeAYieldincomeistheincomethataninvestorreceivesfromcouponpaymentsrelativetothebod,spriceaswellasinterestonreinvestmentincome.annualcouponpaym
3、entYieldincome=currentbondprice/Annualcouponpayment=coupon+reinvestmentincome/Whenreinvestmentincome=0zyieldincome=currentyieldIl鹿围三m6ZunwUMOP=O;oucpusajyfoaA三lco-PUoBM-UuaaqHE?IoP-ON8PUO8IPBOydPUOguozyo-A6JL!lJ03ussxsc3c三3u-Jd6eu：MdS-PUoq一-LU-0一B1三0NBu-EnsseQSBaUBPEOIUJrLSBBNSp一AII一AUMOP6=0、PUoq一Lu
4、o*sIunl三3uUMoP-OXAmnl-UMoP=OXExpectedchangeinpricebasedonyieldsATheexpectedchangeinpricebasedoninvestorsviewsofyieldsandyieldspreadsreflectsaninvestor,sexpectationofchangesinyieldsandyieldspreadsovertheinvestmenthorizon.E(pricebasedoninvestorsviewofyieldsandyieldspreads)=-modifieddurationyid-convexi
5、ty(yied)22，Expectedchange=0ifexpectedyieldcurvesandyieldspreadstoremainunchangedConvexityestimatestheeffectofthenon-linearityoftheyieldcurveEmbeddedoption:effectiveduration,effectiveconvexityFloatingratenoteshavemodifieddurationnearzeroExpectedcreditloss¤cygain/lossAExpectedcreditlossrepresent
6、theexpectedpercentageofparvaluelosttodefaultforabond.Expectedcreditlosses=Probability(default)expectedlossseverity(lossgivendefault)CurrencygainorlossAnyexpectedfluctuationsinthecurrencyexchangerateorexpectedcurrencygainsorlossesovertheinvestmenthorizon.Canbelockedinovertheinvestmenthorizonusingcurr
7、encyforwards.EstimationoftheinputsEasiestcomponent:yieldincome.ARelativelystraightforward:rolldownreturn.MostuncertainInvestorsviewsofchangesinyieldsandyieldspreads;Expectedcreditloss;Expectedcurrencymovements.行业创新憎值_ExampleAAnnmanagesaBritishpound-denominatedcorporatebondportfolio.Herdepartmenthead
8、inNewYorkhasaskedAnntomakeapresentationonthenextyearstotalexpectedreturnofherportfolioinUSdollarsandthecomponentsofthisreturn.ThefollowingshowsinformationontheportfolioandAnn,sexpectationsforthenextyear.Calculatethetotalexpectedreturnofthebondportfolio,assumingnoreinvestmentincome.ExampleNotionalpri
9、ncipalofportfolio(inmillion)100Averagebondcouponpayment(per100)2.75CouponfrequencyAnnualInvestmenthorizon1yearCurrentaveragebondprice97.11Expectedaveragebondpriceinoneyear(assuminganunchangedyieldcurve)97.27Averagebondconvexity0.18Averagebondmodifiedduration3.70Expectedaverageyieldandyieldspreadchan
10、ge0.26%Expectedcreditlosses0.10%Expectedcurrencylosses(depreciationversusUS$)0.50%巨业创新憎值一Example三ACorrectAnswer:Yieldincomeoveraoneyearhorizon=2.75/97.11=2.83%.Rolldownreturn=(97.27-97.11)97.11=0.16%.Rollyield=yieldincome+rolldownreturn=2.83%+0.16%=2.99%.TheexpectedchangeinpricebasedonAnn,sviewsofyi
11、eldsandyieldspreads=(-3.70*0.0026)+l2*0.18*(0.0026)2=-0.96%.Expectedcreditlosses=-0.1%.Expectedcurrencylosses(depreciationversusUS$)=-0.5%.Totalexpectedreturn=2.83%+0.16%+(-0.96%)+(-1%)+(-0.5%)=1.43%.2Immunization-multipleliabilitiesManagingmultipleliabilitiesApproachestomanagemultipleliabilitiesCas
12、hflowmatching/Entailsbuildingadedicatedportfolioofzero-couponorfixed-incomebondstoensurethattherearesufficientcashinflowstopaythescheduledcashoutflows.Durationmatching/Extendstheideasoftheprevioussectiontoaportfolioofdebtliabilities.Contingentimmunization/Allowsforactivebondportfoliomanagementuntila
13、minimumthresholdisreachedandthatthresholdisidentifiedbytheinterestrateimmunizationstrategy.CashflowmatchingAItisaclassicstrategytoeliminatetheinterestrateriskthroughbuildingadedicatedassetportfolioofhigh-qualityfixed-incomebonds,sothatmatchestheamountandtimingofthescheduledcashoutflows.Eachcashflowa
14、replacedinaheld-to-maturityportfolioWhycompanydonotbuybackandretireitsliabilities?Thebuybackstrategywouldbedifficultandcostly;MostcorporatebondsareratherilliquidThecorporatehasmotivationtoimprovethecompanyscreditratingbycashflowmatching.CashflowmatchingAccountingdefeasanceAwayofextinguishingadebtobligationbysettingasidesufficienthighqualitysecurities,suchasUSTreasurynotes,torepaytheliability.Aconcernforcashflowmatchingstrategyisthecash-in-advanceconstraintCash-in-advanceconstraintmeanssecuritiesarenotsoldtomeetobligations;Forcompany,sufficientfunds
