2. CAPM, APT: treat securities at a high level of abstraction, assuming implicitly that a prior, detailed analysis of each security already had been performed, and that its risk and return features had been assessed.
Specific analyses of particular security markets: valuation principles, determinants of risk and return, portfolio strategies commonly used within and across the various markets
3. 固定收益证券
is a claim on a specified period stream of income.
Have the advantage of being relative easy to understand because the level of payments is fixed in advance.
Risk consideration are minimal as long as the issuer of the security is sufficiently creditworthy.
20. The higher the coupon rate of a callable bond, the greater is the likely divergence between actual and promised yields.
一般来说,息率超过5%的债券都会回购
回购可能性越大,到期收益应该越高,即,息率越高,或者回购酬金越低,到期收益应该越高
当别的性质相同时,息率越高或者回购酬金越低的可回购债券,其内在价值(intrinsic value) 应该越低。
25. 级别评估公司以发行公司的财务比的水平和未来趋势为基础,通过建立模型对公司债券级别进行评估:
Coverage ratios--ratio of company earnings to fixed costs
Leverage ratio--debt to equity ratio
Liquidity ratios--current assets to current liability ratio
Profitability ratios--return on assets or equity
Cash flow-to-debt ratio--total cash flow to outstanding debt
27. Promised yield to maturity and expected yield to maturity.
例子:在1993年8月,Wang Laboratories, Inc.即将破产,它的到期日为2009年的债券发行时以面值的35%折价发行,使得Promised yield to maturity 超过26%。投资者并不真正期望获得26%的回报率,他们预期不可能得到所有承诺支付,以期望现金流为基础的收益远远小于以承诺现金流为基础的收益。
31. Default premium: the difference between the promised yield on a corporate bond and the expected yield.
32. 例子:
Default premium
yield
spread Risk premiumDefault-free yield-to-Maturity12% promised yield-to-maturity9% expected yield-to-maturity8% yield-to-maturity on a default-free
bond of similar and coupon rate0%
38. 1.3. Yield spread 的确定评估违约概率的四种测度:
The extent to which the firm’s net income had varied over the preceding nine years(measured by the coefficient of variation of earnings---that is, the ratio of standard deviation of earnings to average earnings)
The length of time that the firm had operated without forcing any of its creditors to take a loss.
39. The ratio of the market value of the firm’s equity to the par value of its debt.
The market value of the firm’s outstanding debt.
40. Yield spread=0.987
+0.307(earnings variability)
-0.253(time without default)
-0.537(equity/debt ratio)
-0.275(market value of debt)
41. 1.4 预测违约的财务比(financial ratio)对一个公司而言,当下面情况发生时,违约的概率变大:
the existing cash balance is smaller
the expected net cash flow is smaller
the net cash flow is more variable
单变量方法
多变量方法
42. 单变量方法the ratio of net cash flow(income before depreciation, depletion, and amortization charges) to total debt
43. 多变量方法
44. Z-score
=(current assets-current liabilities)/total assets
=retained earnings/total assets
=earnings before interest and taxes/total assets
=market value of equity/book value of total debt
=sales/total assets
Z-score小于1.8公司作为违约对象,并且Z-score越小,违约的可能性越大。
47. 当息率等于利率时,价格等于面值
In these circumstances, the investor receives fair compensation for the time value of money in the form of the recurring interest payments. No further capital gain is necessary to provide fair compensation.
48. 当息率小于利率时,价格小于面值
The coupon payments alone will not provide investors as high a return as they could earn elsewhere in the market. To receive a fair return on such an investment, investors also need to earn price appreciation on their bonds. The bond would have to sell below par value to provide a “built-in” capital gain on the investment.
50. When bond prices are set according to the present value formula, any discount from par value provides an anticipated capital gain that will augment a below-market coupon rate just sufficiently to provide a fair total rate of return.
If the coupon rate exceeds the market interest rate, the interest income by itself is greater than available elsewhere in the market. The price is greater than the par value, the resulting capital losses offset the large coupon payments so that the investor receive only a fair rate of return.
51. Each bond offers investors the fair total rate of return. Although the capital gain versus income components differ, the price of each bond is set to provide competitive rates, as we should expect in well-functioning capital markets.
52. Security returns all should be comparable on an after-tax risk-adjusted basis. If they are not, investors will try to sell low-return securities, thereby deriving down the prices until the total return at the now lower price is competitive with other securities. Prices should continue to adjust until all securities are fairly priced in that expected returns are appropriate(given necessary risk and tax adjustments)
53. 2. Fixed-income portfolio management利率风险
As interest rates rise and fall, bondholders experience capital losses and gains. These gains or losses make fixed-income investments risky, even if the coupon and principal payments are guaranteed, as in the case of Treasury obligations.
Why do bond prices respond to interest rate fluctuations?
In a competitive market all securities must offer investors fair expected rates of return.
63. In some sense a zero coupon bond represents a longer-term bond than an equal-time-maturity coupon bond. This is the sight about effective maturity.
比较20年到期的零息债券和带息债券。
74. 2.3 Passive bond managementPassive methods
假设债券市场时半强有效的。证券选择(security selection)和决定交易时间(market timing)都是无用的,不会带来超平均的收益。
Active methods
假设债券市场不是非常有效的。通过准确预测利率来辨别误定价的债券或者制定交易时间,从而能够获得超额收益。
75. Passive methods消极债券管理认为债券的价格是公平的,只能控制固定收入证券组合的风险
主要策略:
指标化策略:复制给定债券指标的行为
Immunization 策略:shield the overall financial status of the institution from exposure to interest rate fluctuations.
89. Even if an obligation is immunized at the outset, as time passes the durations of the asset and liability will fall at different rates. Without portfolio rebalancing, durations will become unmatched and the goals of immunization will not be realized.
Immunization is a passive strategy only in the sense that it does not involve attempts to identify undervalued securities. Immunization mangers still actively update and monitor their positions.
91. 第2年,即使利率不变,经理也需要调整策略
An appropriate compromise must be established between the desire for perfect immunization and the need to control trading costs.
92. Immunization 在实际中的问题
multiple nonparallel shifts in a nonhorizontal yield curve
通货膨胀
On this note, it is worth pointing out that immunization is a goal that may well be inappropriate for many investors who would find a zero-risk portfolio strategy unduly conservative. Full immunization is a fairly extreme position for a portfolio manager to pursue.
93. 2.4 Active bond managementInterest rate forecasting
identification of relative mispricing