Fixed Income
- 최초 등록일
- 2016.02.11
- 최종 저작일
- 2015.05
- 32페이지/ 어도비 PDF
- 가격 10,000원
* 본 문서는 PDF문서형식으로 복사 및 편집이 불가합니다.
목차
I. Reading 21. FIXED-INCOME PORTFOLIO MGMT PART I
1. Introduction
2. A framework for fixed income portfolio management
3. Manage funds against a bond market index BM
4. Manage funds against Liability
II. Reading 22. Relative-Value Methodologies for Global Credit Bond
1. Introduction
2. Credit Relative-Value Analysis
3. Total Return Analysis
4. Primary Market Analysis(발행시장)
5. Liquidity and trading analysis
6. Secondary Market Analysis
7. Spread Analysis
8. Structural Analysis → Structural allocation (이제는 less useful)
9. Credit curve analysis
III. Reading 23. FIXED-INCOME PORTFOLIO MGMT PART II
5. Other Fixed Income Strategies
6. International Bond Investing
7. Selecting a fixed income manager
본문내용
(1) Pure bond indexing(=full replication approach)
⇒ 목표: to produce a PF that is a perfect match to the BM PF.
⇒ 방법: duplicate the index by owning all the bonds in the index.
⇒ 단점:
① Very difficult and expensive to implement.
② Many issues in a typical bond index are quite illiquid and very infrequently traded.
③ Perfectly indexed PF will underperform the index
⇒ 장점:
① Lower advisory and non-advisory fees such as custodial fees than active managers.
(2) Enhanced indexing by matching primary risk factors
⇒ 목표: to produce a higher return than under full replication.
⇒ 방법: Uses a sampling approach in attempt to match the primary index risk factors.
[Primary risk factors]:
① Interest rate risk: changes in the level of interest rate
② Yield curve risk: twist in the YC
③ Spread risk: changes in the spread b/w Treasuries and non-Treasuries.
⇒ 장점: to reduce the construction and maintenance costs
⇒ 단점: track the index less closely than full replication.
(3) Enhanced indexing by small risk factor mismatches
⇒ 목표:: The small risk factor mismatches
참고 자료
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