Return Dynamics of Index-Linked Bond Portfolios
证明指数挂钩债券投资组合的收益建模可简化为对到期收益率和基础指数的统计建模，基于12个市场的历史数据，这两个风险因子解释了超过98%的月度收益变化。
Bond returns are known to exhibit mean reversion, autocorrelation, and other dynamic properties that differentiate them from stock returns. Index-linked bonds bring in further characteristics that complicate the task of modeling returns over time. Such models are essential, however, in strategic portfolio analysis and quantitative risk management. This article shows that the modeling of index-linked bond portfolios can be reduced to statistical modeling of the portfolio’s yield to maturity and the underlying index. For these quantities, many well-established models already exist. Using historical data from 12 different markets, the authors show that the two risk factors consistently explain more than 98% of monthly return variations over the past decade, including the recent financial crisis. <b>TOPICS:</b>Portfolio construction, statistical methods, in markets