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Quantitative Bond markets analysis_9

Tham khảo tài liệu 'quantitative bond markets analysis_9', tài chính - ngân hàng, đầu tư chứng khoán phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 420 CHAPTER 17 Active Bond Portfolio Management Strategies adjusted spread at the beginning of the six-month investment horizon and the subse-quent six-month total return was 68 whereas the corresponding correlation between the traditional cash flow yield spread and the subsequent six-month total return was only 53 . One other test performed by Hayre and Lauterbach is noteworthy. They calculate the six-month total return for the following two strategies Strategy A Purchase at the beginning of each month a GNMA with the highest cash flow yield spread and finance the acquisition by shorting a comparable-duration Treasury. Strategy B Purchase at the beginning of each month a GNMA with the highest option-adjusted spread and finance the acquisition by shorting a comparable-duration Treasury. They find that strategy A produced positive returns in 62 of the cases whereas strategy B produced positive returns in 81 of the cases. The average return for strategy A was only 84 basis points smaller than that for strategy B which was 258 basis points. Moreover in only 8 of the cases did strategy A outperform strategy B. These results support the view that an option-adjusted spread-based trading strategy may not only lead to enhanced returns but also be superior to a trading strategy based on traditional yield spreads. These results are similar to those reported by researchers at Morgan Stanley in 1988.10 Individual Security Selection Strategies There are several active strategies that money managers pursue to identify mispriced securities. The most common strategy identifies an issue as undervalued because either 1 its yield is higher than that of comparably rated issues or 2 its yield is expected to decline and price therefore rise because credit analysis indicates that its rating will improve. A swap in which a money manager exchanges one bond for another bond that is similar in terms of coupon maturity and credit quality but offers a higher yield is called a substitution .