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1、CHAPTEREIGHTOVERVIEWOFFORWARDRATEANALYSISANTTIILMANEN,PH.D.SeniorTraderBrevanHowardAssetManagementLLPOvertheyears,advanceshavebeenmadeinboththetheoreticalandtheempiri-calanalysisofthetermstructureofinterestrates.However,suchanalysisisoftenveryquantitative,anditrarely
2、emphasizespracticalinvestmentapplications.Inthischapterwebrieflydescribethecomputationofpar,spot,andforwardrates,presentaframeworkforinterpretingtheforwardratesbyidentifyingtheirmaindeterminants,anddeveloppracticaltoolsforusingtheinformationinforwardratesinactivebondp
3、ortfoliomanagement.ThethreemaininfluencesontheTreasuryyieldcurveshapeare(1)themar-ket’sexpectationsoffutureratechanges,(2)bondriskpremiums(expectedreturndif-ferentialsacrossbondsofdifferentmaturities),and(3)convexitybias.Conceptually,itiseasytodividetheyieldcurve(orth
4、etermstructureofforwardrates)intothesethreecomponents.Itismuchhardertointerpretreal-worldyield-curveshapes,butthepotentialbenefitsaresubstantial.Forexample,investorsoftenwonderwhetherthecurvesteepnessreflectsthemarket’sexpectationsofrisingratesorapositiveriskpremium.Th
5、eanswertothisquestiondetermineswhetheradurationextensionincreasesexpectedreturns.Italsoshowswhetherwecanviewforwardratesasthemarket’sexpectationsoffuturespotrates.Inaddition,inthischapterwewillexplainhowthemarket’scurvereshapingandvolatilityexpectationsinfluencethesha
6、peoftoday’syieldcurve.Theseexpectationsdeterminethecostofenhancingportfolioconvexityviaaduration-neutralyieldcurvetrade.1ThischapterisarevisedversionofaCitigroup(SalomonBrothers)researchreport.SuchreportremainsthepropertyofCitigroup,anditsdisclaimersapply.Theauthorwi
7、shestothankLarryBader,EduardoCanabarro,AjayDravid,FrancisGlenister,RayIwanowski,CalJohnson,TomKlaffky,RickKlotz,StanKogelman,JanetShowers,andCharlieYefortheirhelpfulcomments.1.DetailsoneachofthethreeinfluencesontheyieldcurvecanbefoundatAnttiIlmanen,“Market’sRateExpect
8、ationsandForwardRates,”JournalofFixedIncome(September1996),pp.8–22;AnttiIlmanen,“DoesDurationExtensionEnhanceLong-TermExpectedRetur
