摘要
經修訂存續期﹙通常簡稱存續期﹚是衡量債券價格對利率變化的敏感度的指標。存續期以年數來表示,因為定息債券的價格主要取決於債券的剩餘期限,而債券的剩餘期限也是用年數來表示。債券價格的變化與債券殖利率的變化之間呈反比關係;債券殖利率上升會導致債券價格下跌,而當債券殖利率上升1%時,存續期越長的債券的價格跌幅就越大。
1. 相似的存續期會否帶來相似的風險?
情況未必如此。例如,短期利率往往較長期利率上升得更快,而且相對於市況穩定的時期,短期利率在貨幣緊縮週期期間的波動往往較高。因此,即使數值相同,來自2年期債券與來自10年期債券的存續期亦有可能展現不同波動。圖1。2年期債券殖利率相對於10年期債券殖利率的相對波動通常取決於貨幣週期階段。
圖1:美國2年期政府債券與美國10年期政府債券殖利率波動的比較
資料來源:彭博及瀚亞投資,截至2024年9月20日。2. 債券的計價貨幣是否影響殖利率波動?
當然會。從圖2所見,在新冠疫情開始後的18個月內,新加坡10年期政府債券殖利率的波動與美國10年期政府債券殖利率的波動相若。當時,聯準會及新加坡金融管理局等全球央行同步推出貨幣刺激措施以維持低利率。然而,在新冠疫情前後,由於全球貨幣政策的協同程度較低,美國債券殖利率的波動一直高於新加坡債券殖利率。
圖2:美國10年期債券與新加坡10年期債券的殖利率波動比較
資料來源:彭博及瀚亞投資,截至2024年9月20日。3. 你能否說明傳統上如何使用存續期來衡量投資組合風險?
我們同時持有美元及亞洲當地貨幣債券的亞洲債券策略充分體現了存續期的作用。我們在建構債券投資組合時一般會匹配基準指數的風險特性,再增減我們認為有助策略跑贏指數的主動持倉。策略的存續期通常與基準相若。
從圖3所見,某一特定策略的整體存續期為4.8年,其中3.35年來自美元債券,其餘來自亞洲當地貨幣債券,而基準指數100%由美元債券組成,存續期為4.45年,主動存續期(即投資組合存續期與基準存續期之間的差異)為0.35年,該策略偏重於亞洲當地貨幣債券(尤其是新加坡幣)存續期,配置較低在美元債券存續期。
圖3:按貨幣劃分的存續期分佈
資料來源︰瀚亞投資,截至2023年12月底。在圖4中,我們按照剩餘期限來分解投資組合、基準存續期及主動存續期;該投資組合偏重於中長期債券,配置較低在短期債券。總主動存續期與圖3相同(0.35年),但我們以剩餘期限而非貨幣作為分析基礎,在另一個層面上分解該存續期數值。
圖4:按剩餘期限劃分的存續期分佈
資料來源︰瀚亞投資,截至2023年12月底。根據上述存續期劃分例子,僅觀察整體主動存續期數據可能會得出這個結論:該策略偏重於存續期,因此其毫無疑問看好後市。這樣的結論並不正確,並需要以細緻的方法進行分析。
4. 評估投資組合風險時,還需考慮哪些層面?
正如我們從歷史波動圖表中所見,視乎剩餘期限1、貨幣週期階段及債券的貨幣,單一債券一個單位的存續期風險可能會導致波動風險的增減。
調整債券期限與貨幣之間的波動及相關性有助於更好地評估投資組合的風險,尤其是相對於基準指數的風險。忽視這些關係可能會導致不知情的投資決策,例如利率敏感度過高或缺乏利率敏感度。
在圖5中,我們展示了前文討論的傳統存續期衡量指標在調整各期限與國家之間的長期波動及相關性後,如何將主動存續期的數值由正數(+0.35)轉為負數(-0.33)。
經調整存續期為負數的主因是為了配置新加坡幣計價債券並減少配置美元計價債券,因為正如我們之前所見,新加坡政府債券殖利率的波動低於美國政府債券殖利率。
圖5:傳統存續期與Beta調整存續期
資料來源︰瀚亞投資,截至2023年12月底。我們專有的調整存續期指標通常使用長期共變異數進行校準,以更好地捕捉期限與貨幣在整個經濟週期中的預期關係。因此,假設這些長期關係成立,上述策略實際上較傳統主動存續期衡量標準(+0.35)所顯示的更偏向防守性(-0.33)。
5. 聯準會已經開始放寬政策,存續期如何影響你的投資組合?
過去一年,美元利率波動顯著加劇。市場參與者最初預期聯準會放寬政策,但美國當前的經濟狀況影響了聯準會的政策走向,市場參與者因此重新調整預期。美國勞動市場的韌性及服務業持續通膨尤其導致長存續期交易變得複雜—這類交易傳統上被視為在聯準會開始放寬政策時捕捉利率上升機會的投資策略。
當聯準會降息或暗示即將降息時,其他貨幣市場的存續期預計也會隨之改善,與美元存續期同步上升。投資這些市場的存續期不僅反應了對政策放寬的預期,還能額外減少投資組合的波動。由於利率走勢可能並非線性,這種特性可能會帶來更好的表現。隨著我們將非美元存續期納入投資組合以反應對存續期前景的樂觀看法,經Beta調整存續期分析提供了更精準評估波動貢獻的方法。這種分析在市場變化時將有助為投資組合進行主動再平衡。
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