每日新闻更新 - 久期 The Daily Update - Duration

在过去至少五年中,我们一直在告诉投资者,我们预期收益率曲线将扁平化,长期债券的表现将远远胜出。对于那些数十年来从事债券基金管理的同事来说,这很容易理解理解。然而,正如2013年“削减恐慌”所展示的,并不是所有投资者都有这样的直觉。当时,至少99.9%的投资者似乎认为短期债券更胜一筹,尽管事实是短期债券在过去三个收紧周期中均赔钱。

如果我们回顾一下自美联储前主席伯南克那次恶名昭著的演讲以来美国国债的总收益,30年期债券的确表现胜出,从总回报来看,30年期的收益仅超过4%,按照持续到期指数回报,5年期损失4.1%。最近的经历同过去12个月如出一辙,按同一指数计算,30年期收益率增长了2.1%,5年期债券收益下跌了1.9%。

展望未来,我们仍然认为随着短期利率增长,收益率曲线会扁平,我们预测2018年2月起将有3次加息。因此,关于美国国债收益曲线的形状,我们的答案很简单。除非通胀迅速加快,美联储将落后于曲线变化,在看到收紧周期达到峰值之前,我们将始终保持这一观点。我们的分析结果显示,这将在未来以某种形式发生。

然而,由于我们的投资重点是主权基金、准主权基金以及债权国的公司债券,因此同美国国债的收益曲线不同,我们投资领域的收益曲线提供了相对更大的回报。因此,我们很少被问及收益率曲线,而是经常被问到关于我们投资组合的“久期”相关的问题。隐藏在这个问题背后的逻辑是,知道了投资组合的“久期”就能获知一些有用的信息。

遗憾的是,知道了投资组合的“久期”,甚至知道了某个具体债券的“久期”,所获得的信息并不比被告知室外温度32度更多。如果生活在伦敦,也许还能猜到这是指32华氏度,可不讲明是华氏度,“32度”的意思就非常不明确。只知道“久期”也是如此的道理。要知道某个久期所暗含的意思,您需要明确是哪种类型的久期。如果您在2008年启动了久期为10年的高收益率债券投资组合,那么您当时面临的日子应该很不好过。如果您的投资组合中含有久期为10年并在2008年到期的美国国债,那么您会很开心。

再举个近期的例子。不妨对比一下Southern Copper在2035年到期的债券与美国国债在2028年到期票息为5.25%的债券的收益,两者的久期相同,前者被严重低估,在过去12个月出现了高预期回报,回报率达15.41%,而美国国债同期的收益率仅为0.31%。

衡量风险的更好的方法不是单纯关注久期,而是对比久期乘以价差的值。久期为五年、价差为400的高收益债券,其风险程度大约是久期为10年、价差为100的债券的两倍。这并不完美,只是提供了一个大概,但远比单纯关注久期要有效得多。

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