Asset management strategy of bond fund in the low interest rate environment

• Main Authors: Yang,Chin-Yuan, 楊智淵
• Other Authors: Lee,Shyan-Yuan
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/57926991355612037438

碩士 === 國立臺灣大學 === 財務金融學研究所 === 91 === Abstract： The investment strategy of domestic bond fund has always been focusing on interest-bearing securities because of the limited availability of investment vehicles. Of late the deregulation of financial environment and the need to respond to low interest rate environment has brought in more diversified investment tools and techniques. Fund managers have developed more sophisticated strategies and skills as a result. According to empirical studies by this paper, the introduction of new financial instruments and trading skills did enable local bond funds to enhance returns and reduce risk in the current environment of low rates. A couple of examples follow. Convertible bonds provide a natural hedge against pro-equity market risk for bond investors. Supranational bonds enjoy the benefits of tax-free income. Inverse floaters increase interest income as rates come down. Credit linked deposits facilitate tax avoidance. Options on government bonds trim over-exposure of price risk from low yield. In the front of risk management, principal credit risk can be effectively monitored and managed by KMV model and Altman Z-score model. Value at Risk system provides good assessment and management of price risk of bond portfolios.