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动态久期

动态久期

积极管理利率变动的风险

要点:

  • 积极久期管理是此策略主要业绩推动因素
  • 依托业绩记录良好的成功量化久期分析模型
  • 目标是抵御债券收益率上升的影响,同时因收益率下跌而获益

投资理念

由于国债收益率水平的变动是固定收益投资组合的主要影响因素,因此久期管理(积极管理投资组合对利率变动的敏感度)对回报至关重要。早在上世纪90年代,荷宝已研发量化久期分析模型以预测收益率变化,由于久期模型可以持续充分利用债券市场有效推动因素,因而不但能够提振业绩,还可以避免受到人为投资行为偏向的影响,甚至能够从中获利。

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投资过程

积极久期管理是此策略主要业绩推动因素。久期仓位基于荷宝所开发的量化久期分析模型。该模型预测美国、德国及日本等主要发达市场的债券收益率变动,并通过债券期货工具落实久期投资。

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