managing bond portfolios

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1、Chapter16:ManagingBondPortfoliosChapterOpenerPART  IVp.508INTHISCHAPTER  weturntovariousstrategiesthatbondportfoliomanagerscanpursue,makingadistinctionbetweenpassiveandactivestrategies.Apassiveinvestmentstrategytakesmarketpricesofsecuritiesassetfairly.R

2、atherthanattemptingtobeatthemarketbyexploitingsuperiorinformationorinsight,passivemanagersacttomaintainanappropriaterisk–returnbalancegivenmarketopportunities.Onespecialcaseofpassivemanagementisanimmunizationstrategythatattemptstoinsulateorimmunizethepo

3、rtfoliofrominterestraterisk.Incontrast,anactiveinvestmentstrategyattemptstoachievereturnsgreaterthanthosecommensuratewiththeriskborne.Inthecontextofbondmanagementthisstyleofmanagementcantaketwoforms.Activemanagersuseeitherinterestrateforecaststopredictm

4、ovementsintheentirebondmarketorsomeformofintramarketanalysistoidentifyparticularsectorsofthemarketorparticularbondsthatarerelativelymispriced.   Becauseinterestrateriskiscrucialtoformulatingbothactiveandpassivestrategies,webeginourdiscussionwithananalys

5、isofthesensitivityofbondpricestointerestratefluctuations.Thissensitivityismeasuredbythedurationofthebond,andwedevoteconsiderableattentiontowhatdeterminesbondduration.Wediscussseveralpassiveinvestmentstrategies,andshowhowduration-matchingtechniquescanbeu

6、sedtoimmunizetheholding-periodreturnofaportfoliofrominterestraterisk.Afterexaminingthebroadrangeofapplicationsofthedurationmeasure,weconsiderrefinementsinthewaythatinterestratesensitivityismeasured,focusingontheconceptofbondconvexity.Durationisimportant

7、informulatingactiveinvestmentstrategiesaswell,andweconcludethechapterwithadiscussionofactivefixed-incomestrategies.Theseincludepoliciesbasedoninterestrateforecastingaswellasintramarketanalysisthatseekstoidentifyrelativelyattractivesectorsorsecuritieswit

8、hinthefixed-incomemarket.16.1InterestRateRiskp.509Wehaveseenalreadythataninverserelationshipexistsbetweenbondpricesandyields,andweknowthatinterestratescanfluctuatesubstantially.Asinterestratesriseandfall,bondholdersexperiencecapi