学习笔记 - CFA 固收

固收整体框架应与权益一致，分两大块：passive与active（其中的liability-based其实是另一种逻辑），每块又再细分，本节先了解一些基础知识

引用书中的框架图：

 Liability-based mandates are managed to match or cover expected liability payments (future cash outflows) with future projected cash inflows

Total return mandates are generally managed to either track or outperform a market-weighted fixed-income benchmark

Enhanced indexing介于passive与active之间：

enhanced indexing approach：tracks the benchmark’s primary risk factor exposures very closely (particularly duration) & minor risk factor mismatches (e.g., sector or quality bets) are used

一些在固收常用的基础知识点：

Price value of a basis point (PVBP) sometimes called “basis point value” (or BPV), is the money duration times 0.0001 (1 bp)

调节组合convexity的3种方法：

       （1）shifting the maturity/duration distribution of bonds in the portfolio

       （2）adding individual bonds with the desired convexity properties

       （3）using derivatives

Convexity can largely be ignored for small yield changes，因为它对债券价格变化的影响是要乘yield change的平方，所以yield change很小时其实convexity的影响就可以忽略了

Spread duration is a useful measure for determining a portfolio’s sensitivity to changes in credit spreads（默认本节所讲的spread duration不特别说明则是credit spread）

Duration times spread (DTS) is a modification of the spread duration definition to incorporate the empirical observation that spread changes across the credit spectrum tend to occur on a proportional percentage basis rather than being based on absolute basis point changes

小结：  

       convexity是interest rate的large parallel shift（平衡非线性移动，不是large non-parallel：非平衡非线性）对债券组合MV的变化影响

       duration是衡量interest rate的small parallel shift（即平衡线性移动）对债券组合MV的变化影响

       （credit）spread duration则是yield spread（credit spread是yield spread的一个组成）的变化对债券组合MV变化的影响

       key rate durations for non-parallel shifts，一般指small non-paralleled，large non-paralleled这种情况没说

Portfolio dispersion captures the variance of the times to receipt of cash flows with respect to the duration

Macaulay duration is the weighted average of the times to receipt of cash flows

Higher cash flow dispersion leads to an increase in convexity，但convexity的计算公式上是没有dispersion的

一些在构建策略等应用层面需要了解的知识点/结论：

       Correlations for global government bonds will be partly driven by changes in interest rates but also by changes in local currency exchange rates

       A portfolio manager expecting credit spreads to narrow may wish to increase the spread duration in an actively managed portfolio

bid-offer / bid-ask

When discussing a repo（Repurchase agreements）, the transaction normally refers to the borrower’s standpoint

当站在出借方的角度则叫 reverse repos

       repo一年按360天计息

       分cash-driven（一般以双方认可的securities作为collateral，如 Treasury bonds）和security-driven（一般以出借方指定的securities作为抵押物）

       Bilateral repos are usually used for security-driven transactions

       Most cash-motivated repo transactions against general collateral are conducted as tri-party repo transactions

       haircut：the amount by which the collateral’s value exceeds the repo principal amount

Security Lending应该从两个角度去理解：证券持有方想通过抵押证券来借钱；做空方想借入证券来hedge风险敞口

       The primary motive of security lending transactions is to facilitate short sales

       尽管融券主要为了short sale，但本质上出借方才是借钱人，所以Rebate rate一般应为正，除非需要借的securities需大于求

       Rebate rate = Collateral earnings rate – Security lending rate

题目中一些易混淆的描述：

bearish on US Treasury interest rates given his economic growth forecast and expects rates to increase

bullish on Brazilian rates, expecting them to decrease

两种常见的vehicle：

（1）mutual fund

       interest income is generally taxed at the final investor level when it occurs，即underlying分红派息，投资者就要交税

       在US，pass-through treatment of capital gains，即MF处置underlying使得基金净额增长（还未分红到投资者）的话，投资者就要交利得税

       而在UK，当投资者卖出所持基金份额时才计算并缴纳利得税（所以，UK portfolio manager（指MF的基金经理）’s decisions on when to realize capital gains or losses do not affect the timing of tax payments on capital gains by investors）

（2）separately managed account

       投资者其实是直接持有underlying，只是由基金经理操盘而已

       所以 typically pays tax on realized gains in the underlying securities at the time they occur

相关例题：A、B两个组合分别capital gain 10%和loss 10%，且A slightly overvalued，而B slightly undervalued；对于采用pass-through机制的管辖区，taxable investor应该liquidate哪个更好

       答案是选变现B，因为认为10%的loss不算多，可以接受，所以要将这个loss实现来Tax-loss harvesting