债券交易策略(英文)

TypeofPortfolioStrategiesTypeofPortfolioStrategiesBasicStrategiesBasicStrategiesPassive/ActiveStrategiesPassive/ActiveStrategiesHowBondPriceChangeHowBondPriceChangeHowtoPredictKeyVariablesHowtoPredictKeyVariablesCouponCouponMaturityMaturityYieldYieldYieldCurveYieldCurvePatternImpacttoBondPriceHigh/LowHigh/LowLong/ShortLong/ShortParallel/FlattenParallel/FlattenSteepen/HumpSteepen/HumpLiabilityFundingApproachLiabilityFundingApproachBasedonFundedLiabilityBasedonFundedLiabilityUnifiedApproachUnifiedApproachBasedonRiskDisaggregateBasedonRiskDisaggregateTotalReturnApproachTotalReturnApproachBasedonRiskFactorsBasedonRiskFactorsRiskExposureTypeofBetForecastScenarioSteepen,FlattenSteepen,FlattenSlopeSlopeBull,BearBull,BearMarketDirectionMarketDirectionCurveCurveBull/BearSteepenerBull/BearSteepenerDurationDurationDirection+SlopeDirection+SlopeCombinationCombinationRiskExposureTypeofBetForecastScenarioWiden,NarrowWiden,NarrowBull/BearFlattenerBull/BearFlattenerHigh,LowHigh,LowDirection+SlopeDirection+SlopeCombinationCombinationCountry/CreditCountry/CreditSpreadSpreadConvexityConvexityVolatilityVolatilityDirectionalStrategiesDirectionalStrategiesRelativeValueStrategiesRelativeValueStrategiesTrytoForecastTrendTrytoForecastTrendFollowTrendFollowTrendCurveCurveDurationDurationCombinationCombinationFlattenerFlattenerSpreadSpreadVolatilityVolatilitySteepenerSteepenerCombinationCombinationImmunizationStrategyImmunizationStrategyDedicatedPortfolioStrategyDedicatedPortfolioStrategyDuration&LiabilityMatchingDuration&LiabilityMatchingCashFlow&LiabilityMatchingCashFlow&LiabilityMatching15101520PayoutYearCashMatchedDurationMatched10152010152060608080100100120120140140RequiredAssetsRequiredAssetsYield(%)Bt.’MillionBt.’Million15%MarketRate15%MarketRate14%MarketRate14%MarketRateTriggerPointTriggerPointConditionofImmunization:1)Marketvalueofassetsmustbegreaterthan/equaltopvoftheliabilities2)thedispersionofassets(degreeofbarbelling)mustbegreaterthan/equaltothedispersionofliabilities.ModernImmunizationStrategiesincludesM–SquareModelandM–VectorModelwhichcoverriskfromnon-parallelshiftofyieldcurve.BetaPortfolioBetaPortfolioAlphaPortfolioAlphaPortfolioLiabilityMatchingLiabilityMatchingInvestorTypePortfolioStrategyReturnObjectiveCurveBiasLifeInsurance/PensionFundLifeInsurance/PensionFundStructure/ALMStructure/ALMIncomeFocusonYieldIncomeFocusonYieldCommercialBankCommercialBankStructure/ALMStructure/ALMPositiveSpreadbet.Lending&FinancingPositiveSpreadbet.Lending&FinancingHedgeFund/TradersHedgeFund/TradersActiveActiveAbsolute,TotalReturnFocusonCapitalGainAbsolute,TotalReturnFocusonCapitalGainMutualFund(Some)MutualFund(Some)PassivePassiveRelativeReturn/BenchmarkRelativeReturn/BenchmarkL/TL/TL/TL/TS/TS/TNoNoBasicTradeBasicTradeFormorerisk-neutralInvestorsFormorerisk-neutralInvestorsConservativeTradeConservativeTradeFormorerisk-averseInvestorsFormorerisk-averseInvestorsAggressiveTradeAggressiveTradeFormorerisk-SeekingInvestorsFormorerisk-SeekingInvestorsConservativeTradeConservativeTradeCashNeutralCashNeutralEarnCashEarnCashDurationShortenDurationShortenCash-DurationNeutralCash-DurationNeutralDurationNeutralDurationNeutralDurationExtensionDurationExtensionWithdraw/BorrowingWithdraw/BorrowingBasicTradeBasicTradeAggressiveTradeAggressiveTradeInterestPaymentInterestPayment(CouponIncome)(CouponIncome)ReinvestmentIncomeReinvestmentIncomeReinvestmentofCouponIncomeReinvestmentofCouponIncomeCapitalGainCapitalGainGain/LossfromBondPriceChangeGain/LossfromBondPriceChangeRollDownReturnRollDownReturnCarryCarryRolldownrefertocapitalgainassociatedwithafallingyieldthatistypicalofabondapproachmaturity.Rolldownrefertocapitalgainassociatedwithafallingyieldthatistypicalofabondapproachmaturity.Carryisthenetfinancingcostoftradeordifferentbetweencouponearn&interestpaidtofinanceposition(coupon–repo)Carryisthenetfinancingcostoftradeordifferentbetweencouponearn&interestpaidtofinanceposition(coupon–repo)iiMaturityMaturityShorttermMediumtermLongtermCarry=Coupon–RepoRateCarry=Coupon–RepoRate-0.5=2.5–3.0-0.5=2.5–3.0+2.5=5.5–3.0+2.5=5.5–3.0STLTSourceofReturnReturnRelationshipSourcesofRiskCouponCouponRoll-downRoll-downConvexityConvexityDurationDurationRich/CheapRich/CheapCarryCarryCredit,InflationCredit,InflationYieldCurveRiskYieldCurveRiskVolatilityRiskVolatilityRiskMarketRiskMarketRiskMarketRiskMarketRiskYieldCurve/LiquidityRiskYieldCurve/LiquidityRiskLTBondLTBondDependonMKDependonMKDependonMispricingDependonMispricingDependonTradeFinancingDependonTradeFinancingLTBondLTBondLTBondLTBondiiMaturityMaturityShorttermMediumtermLongtermInterestratesareexpectedtofallInvestlongtermInterestratesareexpectedtoriseInvestshorttermBulletBulletiiMaturityMaturityShorttermMediumtermLongtermInterestratesarenotclearInvestbothLongtermandShorttermBarbellBarbelliiMaturityMaturityShorttermMediumtermLongtermInterestratesarenotclearInvestinAllMaturityShort/Medium/LongLadderLadderiiMaturityMaturityShorttermMediumtermLongtermS/T&L/TInterestRatesShortM/TBulletareexpectedtofallbutM/TandLongBarbellRatesaree