Strategije upravljanja portfoliom koji se sastoji od obveznica Stilovi i strategije Uinak portfolia koji se sastoji od obveznica Fixed-income portfolios

os generally produce both less return and less volatility than found in other asset classes (e.g., domestic equity, foreign equity) The low historical correlation between fixed-income and equity securitiesReilly and Wright (2004) calculated this to be 0.27has made bond portfolios an excellent tool for diversifying risk Portfolio stil Karakteristike: credit quality and interest rate sensitivity credit quality: high, medium, and low grades Osetljivost obveznica na promene kamatne stope Odnos trajanja obveznice i boniteta (kvaliteta)

Stilovi i strategije Passive Portfolio Strategies Active Management Strategies Core-plus Management Strategy Matched-funding Techniques Contingent Procedure (Structured Active Management) Ilustracija strategija

Pasivne portfolio strategije Buy and hold A manager selects a portfolio of bonds based on the objectives and constraints of the client with the intent of holding these bonds to maturity Can by modified by trading into more desirable positions Indexing The objective is to construct a portfolio of bonds that will track the performance of a bond index Performance analysis involves examining tracking error for differences between portfolio performance and index performance Aktivne portfolio strategije Active management strategies attempt to beat the market Mostly the success or failure is going to come from the ability to accurately forecast future interest rates Active Strategy Attributes (Exhibit 19.5) Scalability Sustainability Risk-adjusted performance Extreme values Karakteristike aktivnih strategija

Aktivne strategije 1. Interest-rate anticipation Risky strategy relying on uncertain forecasts Ladder strategy staggers maturities Barbell strategy splits funds between short duration and long duration securities 2. Valuation analysis The portfolio manager attempts to select bonds based on their intrinsic value 3. Credit analysis Involves detailed analysis of the bond issuer to determine expected changes in its default risk See Exhibit 19.6

Razlika izmedju prinosa dravnih obveznica i junk bonds

Aktivne menadzment strategije High-Yield Bond Research Yield spread analysis Bond swaps Bond Swaps Types (vidi primere u knjizi!) Pure yield pickup swap Swapping low-coupon bonds into higher coupon bonds Substitution swap Swapping a seemingly identical bond for one that is currently thought to be undervalued A Global Fixed-Income Investment Strategy - Investiranje u strane obveznice Faktori koje treba uzeti u obzir: The local economy in each country including the effects of domestic and international demand The impact of total demand and domestic monetary policy on inflation and interest rates The effect of the economy, inflation, and interest rates on the exchange rates among countries Core-Plus menadzment strategija Kombinacija aktivnog i pasivnog stila A large, significant part of the portfolio is passively managed in one of two sectors: The rest of the portfolio is actively managed Strategije uskladjivanja buducih obaveza i priliva / Matched-Funding Strategies Dedicated Portfolios Potpuno uskladjivanje obaveza i priliva po osnovu prodaje obveznica Dedication with reinvestment Does not require exact cash flow match with liability stream Great choices, flexibility can aid in generating higher returns with lower costs Matched-Funding Techniques Strategija imunizacije (vazno, videti primer u knjizi!) The process is intended to eliminate interest rate risk that includes: Price Risk Coupon Reinvestment Risk The immunization techniques attempt to derive a specified rate of return during a given investment horizon regardless of what happens to market interest rates

Graficki prikaz koncepta - Horizon matching

Strukturne strategije - eng: Contingent and Structured Strategies Contingent Immunization (vidi sledeci slajd za graficki prikaz) Duration of portfolio must be maintained at the horizon value Cushion spread is potential return below the current market return Safety margin is a portfolio value above the required value Trigger point refers to the minimum return that will stop active portfolio management Ilustracije sigurnosne margine