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7#
发表于 2011-10-5 12:17
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Starbuk, I think the issue is that if you are buying bonds, you already have to have some expectations about how much of the return is going to be real vs. nominal-only. If you don't think it's enough real return for the risk, you don't buy, and if you think it's enough, you do.
Everyone has their own take on what might happen to rates, but the market yield can be thought of as a kind of weighted average of those expectations for all market participants (though what throws a wrinkle in there, is that it's really the expectations of the marginal buyer that determine everything, and not every buyer).
If you've bought a bond, and everything works out the way you expected in terms of real and inflation returns, then you are happy with your return and shouldn't be too upset.
Therefore, it's only when things DON'T work out as planned that things might go extra well or extra bad.
So if rates are going up because QE2 is ending, that's expected, and may already be incorporated into current yields. Theory says that if markets are efficient, then there shouldn't be any extra value in selling bonds because of QE2 ending, because bond-buyers have already incorporated a change into their expectations.
The problem, of course, is that different investors will come to the conclusion at different times. Large investors may not be able to dump large quantities all at once, and maybe it's only certain parts of the yield curve that are going to be affected, and there may also be plenty of hedging and rebalancing of other things that affect the desirability of treasuries. So it's pretty complex, and if you have some analytical skill at sorting out these kinds of issues, you may be able to adjust your portfolio to take advantage of it... probably that will be by adjusting position sizes rather than making pure buy/sell decisions.
It also is not fully guaranteed that QE2 will end and be replaced with nothing. Remember that when things are expected with some given probability, and the event resolves to one outcome or another, there is still a snap-back effect where the people who were on the wrong side of the issue have to dump that position, and that will create a movement one direction or another. If you think markets are efficient, then theory says that the probability of either outcome is such that it is not a positive expectation bet to try to make money off of these "resolution" movements, but people still try. And if you think markets aren't fully efficient, maybe it makes sense to try. |
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