Does Duration Extension Enhance Long-Term Expected Returns?

作者:locoy | 日期:2019-02-27

  著:Antti Ilmanen 译:徐瑞龙

  久期添加以会提高临时预期报还吗?

  小伸

  Consider the situation of an investor —— such as a central bank, a commercial bank, an insurance company, or a pension fund sponsor —— that has to choose the neutral benchmark duration for its US dollar portfolio. This choice depends on the long-run reward-risk trade-off offered in the US bond market (as well as on the investor's investment horizon and risk tolerance) and not on any tactical interest rate views. Three directors of the investing institution meet to discuss their combined knowledge about the long-run bond risk premium. One director argues that the typical upward slope of the yield curve is evidence of a positive risk premium. Another director points out that the curve shape might reflect expectations of rising rates instead of a risk premium. It is better to look directly at historical return data, he argues, and presents the others some data that show how average returns over the past decade increased strongly with duration. The third director recalls that over a very long period (1926-94) long-term bonds earned only somewhat higher average returns than one-month bills and lower average returns than intermediate-term bonds. These findings are hard to reconcile until the directors realize that the recent sample reflects findings from a disinflationary period that was exceptionally favorable for long-term bonds. In contrast, the poor returns of long-term bonds in the longer sample partly reflect the yield rise over the decades. What should the directors conclude?

  考虑下面的的情景,中银行、商银行、保管公司或养老基金发宗人此雕刻壹类投资者必须为其美元投资构成选择中性基准久期。此雕刻种选择取决于美国债券市场供的临时报还-风险权衡(也与投资者的投资限期惠风险接受才干拥关于),而不是任何技术性的进款比值不雅概念。投资机构叁位董事会面,壹道讨论了临时债券风险溢价。壹位董事认为,进款比值曲线典型地向上歪比值是正风险溢价的证据。另壹位董事指出产,曲线外面形能反应了进款比值上升的预期,而不是风险溢价。他认为最好直接检查历史报还数据,并向人家伸见壹些数据,露示度过去什年的平分报还遂久期的增长而增长。第叁位董事回想说,临时到来看(1926-94)临时债券的平分报还高于壹月期国库券,低于中期债券。此雕刻些考查结实很难相商,直到董事们观点到近日到的范本反应出产即兴了对临时债券特佩有益的畅通货紧收缩期。比较之下,临时债券的报还较低,片断反应了数什年到来债券进款比值的上升。董事应当做什么?

  The goal of this paper is to help investors assess whether duration extension is rewarded in the long run. We present extensive empirical evidence mainly from the US Treasury bond market over the past 25 years. All findings about historical returns depend on the interest rate trend in the sample period, but we alleviate concerns about sample-specific results by studying a period without a strong trend. Further, by examining the historical returns over many subperiods, across markets and from several perspectives, we can give as conclusive answers about long-run expected returns as possible.


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