UBS 的核心投资建议
“Be most suspicious when a bond looks excessively attractive.”
- 高收益 ≠ 免费午餐
- Yield 太好 → 一定有原因
- 风险往往被：
- 流动性
- 结构条款
- 信用恶化
- 隐含期权
低估了
Who Invests in Bonds
Institutional Investors (dominate the market in terms of volume and influence)
- Central Banks / Governments
– Conduct monetary policy (e.g., quantitative easing via sovereign bond purchases)
– Manage foreign exchange reserves (e.g., holding U.S. Treasuries)
– Stabilize financial markets during crises
- Asset Management Firms
– Allocate bonds in mutual funds, ETFs, and separately managed accounts
– Provide diversified fixed-income exposure to retail and institutional clients
– Adjust duration and credit risk based on market outlook
- Insurance Companies
– Match long-term liabilities (e.g., life insurance payouts) with stable bond cash flows
– Comply with regulatory requirements for high-quality liquid assets
– Favor investment-grade and government bonds
- Pension Funds
– Use liability-driven investing (LDI) to ensure future retirement payouts
– Prioritize capital preservation and predictable income
– Typically hold long-duration, high-credit-quality bonds
- Hedge Funds
– Trade bonds for relative value, arbitrage, or directional bets (often with leverage)
– May invest in high-yield, distressed, or emerging market debt
– Frequently use derivatives and short-selling strategies
- Corporates / Family Offices
– Corporates invest excess cash in short-term, low-risk instruments (e.g., T-bills, commercial paper)
– Family offices allocate to bonds for wealth preservation, income, and portfolio diversification
– May access private placements or structured credit products
Retail Investors (smaller scale, often indirect participation)
- Individual Investors
– Seek income, capital preservation, and portfolio diversification (e.g., “60/40” stock/bond mix)
– Often invest via bond ETFs, mutual funds, or government savings bonds
– Common among retirees or conservative investors
- Private Banks / Brokers
– Construct customized bond portfolios for high-net-worth clients
– Offer access to municipal bonds (for tax advantages), corporates, or international debt
– Provide execution, research, and advisory services on fixed-income securities
Types of Bonds
Government Bonds: Issued by national governments (e.g., U.S. Treasury bonds).
- 政府发行的 Debt Security
- 本质：
投资者 lends money 给政府政府承诺未来 pay coupons + repay principal
为什么政府要发债？
- Government Expenditures（政府支出）
- 如果：
- Taxes < Expenditures → Budget Deficit
- 多年赤字累积 → Public Debt
- 政府通过发行债券为赤字融资
Why Are Government Bonds Considered Safe?（为什么被认为“安全”）
Main Benefits of Government Bonds（政府债的主要优点）
1️⃣ Predictable Cash Flows（现金流可预测）
- 投资时即已确定：
- Coupon payments（利息）
- Principal repayment（本金）
- Maturity（到期日）
2️⃣ Capital Protection at Maturity（到期还本）
- 到期时：
- 投资者 receives principal back
- 与 Equities（股票） 对比：
- 股票可能 lose all value
- 政府债通常不会
3️⃣ Low Risk, Low Return（低风险，低回报）
- 风险顺序（从低到高）：
- Cash
- Government Bonds
- Corporate Bonds
- Equities
Finance principle:There Ain’t No Such Thing As A Free Lunch (TANSTAAFL)回报越高 → 风险越高
Government Bonds (Risks)
尽管政府债通常被视为 low-risk assets，但它们并非 risk-free。
政府债主要存在 5 类核心风险：
Risk Type | 核心含义 | 对债券价格的影响 |
Economic | 财政违约 | 价格大幅下跌 |
Political | 主权拒付 | 价格暴跌 |
Interest Rate | 利率变动 | Duration 决定幅度 |
Inflation | 购买力下降 | 实际回报下降 |
Currency | 汇率变动 | 外币投资回报不确定 |
Economic Risk
Political Risk
Interest Rate Risk
Inflation Risk
Municipal Bonds: Issued by states, municipalities, or other local government entities.
由 states / municipalities / local governments 发行，用于公共项目融资（如学校、道路、医院）。
核心特点
- Tax advantage：利息通常 federal tax-exempt（有时州税也免）
- Risk level：低于公司债，但高于国债
- Yield：名义收益率较低，但税后收益可能更高
主要风险
- Credit risk（地方财政恶化）
- Interest rate risk
- Liquidity risk（部分市政债交易不活跃）
典型投资者
- 高税率个人投资者（high-net-worth individuals）
Corporate Bonds: Issued by companies to raise capital.
由 companies 发行，用于融资、扩张或再融资。
核心特点
- Higher yield than government bonds
- 信用风险与公司财务状况强相关
- 分为：
- Investment Grade
- High Yield / Junk Bonds
主要风险
- Credit / default risk
- Interest rate risk
- Credit spread risk（利差扩大）
典型投资者
- 寻求更高收益的机构或个人投资者
Mortgage-Backed Securities (MBS): Bonds backed by mortgage payments.
以 mortgage payments（房贷现金流） 作为支持的债券。
核心特点
- Cash flows 来自大量房贷池
- 通常由：
- Government-sponsored entities
- 或 private issuers 支持
独特风险
- Prepayment risk（提前还款风险）
- Extension risk（利率上升时久期变长）
- Interest rate risk
关键理解
MBS ≠ 普通固定现金流债券现金流 不确定性更高
Convertible Bonds: Can be converted into a predetermined number of the issuing company's shares.
债券可在特定条件下 转换为发行公司的股票。
核心特点
- 兼具：
- Bond-like downside protection
- Equity-like upside potential
- 通常：
- Coupon 较低
- Embedded equity option
主要风险
- Equity price risk（股价下跌）
- Credit risk
- Valuation complexity（期权定价）
典型用途
- 成长型公司融资
Bond Characteristics
1.Coupon（票息）
- 每期固定支付的利息
- 通常每年或每半年支付
2.Principal / Face Value（本金 / 面值）
- 债券到期时政府返还的金额
- 又称 Par Value
3.Maturity（到期）
- 债券存在的期限
- 例：5-year bond = 5年后还本
4.Yield:
5.Maturity vs Duration
Maturity（到期）
- 法律意义上的“终点”
- 本金返还时间点
Duration（久期
所有现金流（coupons + principal）的加权平均时间
- 衡量 利率敏感度
- 越长 → 对利率变化越敏感
关键结论
Duration 通常 小于 maturity但 不是 maturity 的一半
Bond Pricing
- Present Value: Bond prices are determined by the present value of future cash flows (coupon payments and principal repayment), discounted at the required rate of return.
- Discount and Premium: Bonds can be sold at a discount (below par value) or at a premium (above par value) depending on interest rates and the bond’s coupon rate.
As bond yields increase, prices will fall.
As bond yields decrease, prices will rise.
Credit Risk
- Credit Ratings: Agencies like Moody’s, S&P, and Fitch provide ratings that assess the creditworthiness of the bond issuer. Ratings range from high-grade (low risk) to junk (high risk).
- Credit Spread: The difference in yield between a corporate bond and a comparable maturity government bond, reflecting the additional credit risk of the corporate bond.
Credit spreads may widen due to:
•deteriorating financials
•negative news
•excess supply in secondary markets
•new issuance coming out
•deteriorating financials
•negative news
•excess supply in secondary markets
•new issuance coming out
Credit spreads may tighten due to:
•positive news on credit fundamentals
•excess demand for certain issues
Credit spreads move independently of each other.
•positive news on credit fundamentals
•excess demand for certain issues
Credit spreads move independently of each other.
Yield Measures
- Current Yield: Annual coupon payment divided by the current bond price.
- Yield to Maturity (YTM): The total return expected if the bond is held until maturity, accounting for all coupon payments and the difference between the purchase price and par value.
- Yield to Call (YTC): Similar to YTM, but assumes the bond will be called (repurchased by the issuer) at the earliest call date.
Bond Market Concepts
- Liquidity: The ease with which a bond can be bought or sold in the market without affecting its price.
- Inflation Risk: The risk that inflation will erode the purchasing power of future cash flows from the bond.
- Reinvestment Risk: The risk that future coupon payments will be reinvested at a lower interest rate than the original bond.
Bond Valuation Models
- Discounted Cash Flow (DCF): Used to value bonds by discounting future cash flows (coupon payments and principal repayment) at the required rate of return.
- Binomial Model: A discrete-time model used to value options and interest rate-sensitive instruments, including bonds with embedded options.
Derivatives on Bonds
- Bond Futures: Contracts to buy or sell a bond at a future date at a predetermined price.
- Bond Options: Options to buy or sell a bond at a specified price before a certain date.
- Interest Rate Swaps: Contracts to exchange fixed interest payments for floating rate payments, used to hedge interest rate risk.
Interest Rate Risk
Duration:
Measures the sensitivity of a bond's price to changes in interest rates. The higher the duration, the more sensitive the bond is to interest rate changes.
1.1 麦考利久期（Macaulay Duration）
Macaulay duration is the weighted average time to all cash flows, measured in years.
1.2 Dollar duration
The dollar price changes as yield moves.
Modified and dollar durations are metrics for how sensitive a bond’s price is to movements in its yield.
- Longer duration means the price will move significantly.
- Shorter duration means the price will move much less
Convexity:
Measures the curvature of how the price of the bond changes as interest rates change, providing a more accurate measure than duration for large interest rate movements.
- Prices rise at an increasing rate as yield falls.
- Prices fall at a decreasing rate as yields increase.
Use convexity to adjust the accuracy of the price impact on a bond given changes in yield.
- Use duration to calculate the price change for a given change in yield.
- The total change in price is calculated with the following formula:
Drivers of Convexity
Key Points About Convexity
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