[整理]金融名詞-債卷投資組合的管理

以下為整理BKM- Essential of Investment 9th 關於 債卷投資組合的管理 的一些專有名詞

利率風險 與 債卷 的 存續期間(Duration)

-Percentage spread:
$$Percentage\; Spread := \frac{Ask - Bid}{(Bid + Ask)/2}$$

1. Macaulay's 存續期間 (Macaulay’s duration, $D$)
一種對債卷有效到期日的衡量，
A measure of the effective maturity of a bond, defined as the weighted average of the times until each payment, with weights proportional to the present value of the payment,
-存續時間越長 對 利率波動越為敏感
$$\frac{dP}{P} = -D \frac{d(1+r)}{1+r}$$-對於 zero-coupon bond 存續期間 = 到期時間

2. 修正型 存續時間 (Modified duration, $D^*$)
Macaulay’s duration divided by 1+yield to maturity. Measures interest rate sensitivity of bond.
$$\frac{dP}{P} = -D^* dr$$

債卷價格對市場利率變動的敏感性

• 受 到期時間 影響
• 受 息票利率 影響
• 受 到期收益率 影響

3. Immunization
透過調整存續時間來使資產淨值 免受市場利率波動 影響的策略 A strategy to shield net worth from interest rate movements (avoid risk).

4. Rebalancing
根據需要對組合中的資產比例進行調整來實現存續時間與債務之間的(免疫)平衡。
Realigning the proportions of assets in a portfolio as needed.

5. 現金流匹配 (Cash flow matching)
將固定收益組合 (債卷組合) 的現金流與 負債的現金流匹配 (債卷現金流入 = 債務支出)
Matching cash flows from a fixed-income portfolio with those of an obligation. (a process of hedging; i.e., a company matches its cash outflows (obligation) with its cash inflows.)

6. 貢獻策略 (Dedication strategy)
多個時期的現金流匹配策略；在此情況之下管理人選擇合適的債卷使每一期提供的總現金流與一系列的負債匹配。此為一勞永逸消除利率風險的辦法。
Refers to multiperiod cash flow matching.

7. 凸性 (convexity)
The curvature of the price-yield relationship of a bond.
$$\frac{dP}{P} = -D^* dr + \frac{1}{2} Convexity (dr)^2$$

(主動)積極型的債卷管理策略

• 替代互換(substitution swap)
• 市場間價差互換(intermarket spread swap)
• 利率預期互換(rate anticipation swap)
• 純收益增長互換(pure yield pickup swap)
• 稅收互換(tax swap)

8. 替代互換 (Substitution swap)
用一種債卷交換另一種具有相似特徵(有相同的coupon rate, maturity, credit)但是卻有更吸引人價格的債卷
Exchange of one bond for a bond with similar attributes but more attractively priced.

9. 市場間價差互換 (Intermarket spread swap)
指債卷市場兩個部門之間相互交換債卷的行為。
Switching from one segment of the bond market to another

10. 利率預期互換 (Rate anticipation swap)
根據對利率變化預期做出對不同期限的債卷之間的交換，A switch made in response to forecasts of interest rate changes.
-rate goes down => switch to longer duration bonds
-rate goes up => switch to shorter duration bonds.

11. 純收益率增長互換 (Pure yield pickup swap)
轉向高收益長期限的債卷Moving to higher yield bonds, usually with longer maturities
-將 存續時間 較短的債卷換成較長的債卷 (暗示投資人願意承擔更大的風險)

12. 稅收互換 (Tax swap)
為了獲得稅收利益而進行的相似債卷之間互換
Swapping two similar bonds to receive a tax benefit.

13. Horizon analysis
Forecast of bond returns based on prediction of the yield curve at the end of the investment horizon.