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- 2011-7-2
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- 2015-12-9
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6#
发表于 2011-7-13 16:55
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It's basically trying to explain yield curve positioning.
You're trying to answer the question "how well did the manager predict changes in the yield curve?".
To do this, you'd take your portfolio at the beginning of the period and price it AS IF ALL SECURITIES were treasuries, and then you'd price the portfolio at the end of the period AS IF ALL SECURITIES were treasuries. Then, using the beginning and ending prices, you'd calculate a return, and then subtract the treasury benchmark return from this. Effectively, you're trying to isolate just the interest rate management effects in the portfolio - so you'd need to remove the impact of sector allocation, security selection, and trading.
For example:
Say you're holding a portfolio of treasury securities (for simplicity's sake). You think that the yield curve is going to flatten with the long end falling, so you'd extend the duration of your portfolio to say 8.5, while your treasury benchmark duration is 6.1. If you're right, and the yields do fall as you expected, you may end up with a return of 3% while the benchmark only returned 2.5%. Consequently, since we're using treasuries in our portfolio, we can ignore sector allocation and security selection (and just say there's no trading impact), so we've contributed 50 basis points through yield curve positioning.
Now, if we were using corporates, we'd also have to incorporate the effects of yield spreads into the analysis as well. But in the case of interest rate management, we're just concerned with the yield curve positioning, so we don't care about spreads right now, which is why we need to reprice everything using treasury yields to take the spread effects out of the equation.
Does that help? |
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