{"id":7043,"date":"2022-05-16T01:17:14","date_gmt":"2022-05-15T17:17:14","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=7043"},"modified":"2022-05-17T03:43:56","modified_gmt":"2022-05-16T19:43:56","slug":"%e5%8a%a0%e6%81%af%e5%b0%8d%e5%bc%b7%e7%a9%8d%e9%87%91%e5%82%b5%e5%88%b8%e5%9f%ba%e9%87%91%e7%9a%84%e5%bd%b1%e9%9f%bf","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2022\/05\/%e5%8a%a0%e6%81%af%e5%b0%8d%e5%bc%b7%e7%a9%8d%e9%87%91%e5%82%b5%e5%88%b8%e5%9f%ba%e9%87%91%e7%9a%84%e5%bd%b1%e9%9f%bf\/","title":{"rendered":"\u52a0\u606f\u5c0d\u5f37\u7a4d\u91d1\u50b5\u5238\u57fa\u91d1\u7684\u5f71\u97ff"},"content":{"rendered":"

\u52a0\u606f\u5c0d\u5f37\u7a4d\u91d1\u50b5\u5238\u57fa\u91d1\u7684\u5f71\u97ff<\/span><\/strong><\/h2>\n
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\u5f37\u7a4d\u91d1\u6210\u4efd\u57fa\u91d1\u7684\u6295\u8cc7\u5167\u5bb9\u4ee5\u80a1\u7968<\/span>\u53ca\u50b5\u5238<\/span>\u70ba\u4e3b\uff0c\u5927\u5bb6\u5c0d\u80a1\u7968\u61c9\u8a72\u4e0d\u964c\u751f\uff0c\u4f46\u5c0d\u65bc\u50b5\u5238\u7684\u4e86\u89e3\u6709\u5e7e\u591a\u5462\uff1f<\/span><\/p>\n
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\u4e0b\u5716\u662f\u53d6\u81ea\u7a4d\u91d1\u5c40\u5167\u5f37\u7a4d\u91d1\u57fa\u91d1\u5e73\u53f0<\/strong>\u7684\u8cc7\u6599\uff0c\u986f\u793a\u4e86\u65bc2022\u5e743\u670831\u65e5\u7684\u74b0\u7403\u50b5\u5238\u57fa\u91d1<\/span>\u7684\u56de\u5831\u8868\u73fe\uff1a<\/span><\/p>\n
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$\"$ <\/a><\/span><\/p>\n
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\u5927\u9ad4\u4f86\u8aaa\uff0c\u5f37\u7a4d\u91d1\u5167\u7684\u6574\u9ad4\u74b0\u7403\u50b5\u5238\u57fa\u91d1<\/span>\u65bc\u904e\u53bb10\u5e74\u6c92\u6709\u56de\u5831<\/span>\uff0c\u53e6\u5916\uff0c\u65bc\u904e\u53bb1\u5e74\u87556%<\/span>\u3002<\/span><\/p>\n
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\u50b5\u5238\u4e0d\u662f\u6703\u5b9a\u671f\u6d3e\u606f\u7684\u55ce\uff1f\u70ba\u4f55\u6d3e\u4e8610\u5e74\u606f\u90fd\u6c92\u6709\u56de\u5831\uff1f\u904e\u53bb1\u5e74\u52a0\u606f\u90fd\u6c92\u6709\u591a\u65bc1%\uff0c\u70ba\u4f55\u57fa\u91d1\u6703\u8dcc6%?<\/span><\/p>\n
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\u9019\u4e9b\u554f\u984c\u7684\u7b54\u6848\uff0c\u5c31\u9700\u8981\u5c0d\u50b5\u5238\u6709\u66f4\u6df1\u5165\u7684\u4e86\u89e3\u3002<\/span><\/p>\n
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\u50b5\u5238\u57fa\u91d1\u7684\u77e5\u8b58<\/span><\/strong><\/p>\n
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\n
\u6536\u76ca\u7387\/\u5b73\u606f\u7387 (yield) vs \u7968\u9762\u606f\u7387(coupon)<\/strong><\/span><\/span><\/li>\n<\/ol>\n
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\u50b5\u5238\u662f\u4e00\u4efd\u5951\u7d04\uff0c\u6307\u660e\u5408\u7d04\u5404\u65b9\u6b0a\u8cac\uff0c\u57fa\u672c\u4e0a\u662f : \u8a02\u7acb\u7968\u9762\u91d1\u984d\u662f\u591a\u5c11\uff0c\u6d3e\u606f\u91d1\u984d\u6216\u5229\u7387\u662f\u591a\u5c11\uff0c\u6d3e\u606f\u5e74\u606f\u53ca\u9031\u671f\u662f\u591a\u5c11\u3002<\/span><\/p>\n
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\u5047\u8a2d\u6709\u4e00\u96bb\u50b5\u5238\u662f1\u5e74\u671f\uff0c\u7968\u9762\u606f\u7387(coupon)<\/span>\u70ba10%\uff0c\u800c\u4e14\u53ea\u5728\u5230\u671f\u65e5\u624d\u6d3e\u606f\uff0c\u90a3\u9ebc\uff0c\u5982\u679c\u6709\u4eba\u65bc1\u67081\u65e5\u4ee5\u7968\u9762\u50f9$100 \u8cfc\u8cb7\u6b64\u50b5\u5238\u7684\u8a71\uff0c\u523012\u670831\u65e5\u4fbf\u80fd\u6536\u53d6$100<\/span> x 10% =$10 \u5229\u606f\uff0c\u518d\u52a0\u4e0a\u5230\u671f\u6b78\u9084\u7684\u672c\u91d1\uff0c\u5408\u5171$110\u3002<\/span><\/p>\n
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\u4e0d\u904e\uff0c\u5047\u5982\u5e74\u521d\u8cb7\u5165\u6b64\u50b5\u5238\u7684\u6642\u5019\uff0c\u4e0d\u662f\u4ee5\u7968\u9762\u50f9\uff0c\u800c\u662f\u4ee5\u5e02\u50f9$110 \u8cb7\u5165\u7684\u8a71\uff0c\u5230\u4e86\u5e74\u5c3e\u5230\u671f\u6642\uff0c\u53ea\u80fd\u6536\u56de\u7576\u521d\u7684\u8cb7\u5165\u6210\u672c\uff0c\u800c\u6c92\u6709\u56de\u5831\u3002\u53ef\u4ee5\u8aaa\uff0c\u5e74\u521d\u4ee5$110\u8cb7\u5165\u50b5\u5238\u6642\uff0c\u96d6\u7136\u7968\u9762\u606f\u7387(coupon)<\/span>\u70ba10%\uff0c\u4f46yield to maturity (\u5230\u671f\u5b73\u606f\u7387)<\/strong><\/span> \u662f0%\u3002\u9019\u7a2e\u60c5\u6cc1\u5c31\u662f\u89e3\u91cb\u4e86\u5f37\u7a4d\u91d1\u50b5\u5238\u57fa\u91d1\u904e\u53bb10\u5e74\u7684\u56de\u5831\u662f\u96f6\u7684\u539f\u56e0\uff0c\u898b\u4e0b\u5716 : \u50b5\u5238\u57fa\u91d1 \u7684yield to maturity \u662f1.83%<\/span> \uff0c\u4f46\u57fa\u91d1\u958b\u652f\u6bd4\u7387\u662f1.48%\uff0c<\/span>\u7d50\u679c\u4ee4\u50b5\u5238\u57fa\u91d1\u904e\u53bb10\u5e74\u7684\u56de\u5831\u8fd1\u4e4e\u96f6<\/span>\u3002\u6240\u4ee5\u8cb7\u5165\u50b5\u5238\u7684\u6642\u5019\uff0c\u4e0d\u662f\u770b\u7968\u9762<\/strong>\u606f<\/span>\u7387(coupon)\uff0c\u800c\u662f\u770b\u6536\u76ca\u7387\/\u5b73\u606f\u7387 (yield)\uff0c\u9019\u624d\u662f\u9810\u671f\u7684\u56de\u5831\u3002<\/strong><\/span><\/span><\/p>\n
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$\"$ <\/a><\/p>\n
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2. Duration \u5b58\u7e8c\u671f vs maturity \u5230\u671f\u5e74\u671f<\/span><\/strong><\/span><\/p>\n
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\u53e6\u5916\u500b\u60c5\u6cc1\u662f\uff0c\u5047\u5982\u5e74\u982d\u4ee5$110\u8cb7\u5165\u50b5\u5238\uff0c\u5e74\u4e2d\u653f\u5e9c\u52a0\u606f\u75310%\u81f320%<\/span>\uff0c\u6b64\u6642\uff0c\u50b5\u5238\u5e02\u50f9\u6703\u6025\u8dcc<\/span>\uff0c\u5373\u50b5\u5238\u5e02\u50f9\u6703\u4e0b\u8dcc\u81f3\u5927\u7d04$100\uff0c\u4ee4\u50b5\u5238\u5230\u671f\u6642\u7684\u534a\u5e74\u56de\u5831\u70ba$110\/$100 = 10%\uff0c\u5e74\u7387\u5316\u56de\u5831\u70ba20%\uff0c<\/span>yield to maturity \u75310%\u4e0a\u5347\u81f3\u63a5\u8fd1\u5e74\u606f20%\u53bb\u63a5\u8fd1\u653f\u5e9c\u52a0\u606f\uff0c<\/span>\u8207\u5e02\u5834\u5229\u7387\u770b\u9f4a<\/span>\u3002<\/span><\/p>\n
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\u7e3d\u4e4b\uff0c\u5e02\u5834\u5229\u7387\u4e0a\u5347\uff0c\u50b5\u5238\u5e02\u50f9\u4fbf\u6703\u4e0b\u8dcc<\/span>\u3002\u9019\u500b\u4e0b\u8dcc\u901f\u5ea6\uff0c\u662f\u53ef\u4ee5\u88ab\u8a08\u7b97\uff0c\u53eb\u505aduration \u5b58\u7e8c\u671f<\/span><\/strong>\u3002\u6ce8\u610f\uff0c\u96d6\u7136 duration \u5b58\u7e8c\u671f \u7684 \u6578\u5b57\u55ae\u4f4d\u662f\u300c\u5e74\u300d\uff0c\u4f46\u5176\u5be6\u662f\u5e02\u5834\u5229\u7387\u8207\u50b5\u5238\u5e02\u50f9\u7684\u6bd4\u7387\u3002<\/span><\/p>\n
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\u5927\u5bb6\u8981\u61c2\u5f97\u5206\u8fa8\u50b5\u5238\u7684maturity (\u5230\u671f\u5e74\u671f)\u53caduration (\u5b58\u7e8c\u671f)\uff0c\u524d\u8005maturity\u662f\u6307\u50b5\u5238\u5408\u7d04\u5230\u671f\u65e5\uff0c\u5f8c\u8005duration\u662f\u50b5\u5238\u5e02\u50f9\u8207\u5e02\u5834\u5229\u7387\u7684\u654f\u611f\u5ea6\u3002<\/span>\u4e00\u822c\u4f86\u8aaa\uff0c\u8f03\u9577maturity \u5230\u671f\u5e74\u671f\u7684\u50b5\u5238\uff0c\u5176\u5c0d\u5e02\u5834\u5229\u7387\u7684\u654f\u611f\u5ea6\u6703\u8f03\u9ad8\uff0c\u5373\u662f\u9ad8\u5b58\u7e8c\u671f(duration)\u3002<\/strong><\/span><\/span><\/span><\/p>\n
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\u4ee5\u4e0a\u5716\u5bcc\u9054\u7684\u50b5\u5238\u57fa\u91d1\u70ba\u4f8b\uff0cmodified duration \u70ba8.53\u5e74<\/span><\/strong>\uff0c\u9019\u4e0d\u662f<\/strong>\u6307\u57fa\u91d1\u6240\u6301\u7684\u50b5\u5238\u5e73\u5747\u662f8.53\u5e74\u5f8c\u5230\u671f\uff0c\u800c\u662f\u6307\u7576\u5e02\u5834\u5229\u7387\u4e0a\u53471%\uff0c\u8a72\u57fa\u91d1\u7684\u5e02\u50f9\u4fbf\u6703\u4e0b\u8dcc8.53%<\/span> <\/strong>\u3002<\/span><\/p>\n
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\u6240\u4ee5\uff0c\u8cb7\u5165\u50b5\u5238\u7684\u6642\u5019\uff0c\u770b\u5b8c\u6536\u76ca\u7387\/\u5b73\u606f\u7387 (yield)\u4e4b\u5f8c\uff0c\u4fbf\u8981\u770b\u5b58\u7e8c\u671f(duration)\u3002<\/strong><\/span><\/span><\/p>\n
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\u73fe\u6642\u5f37\u7a4d\u91d1\u57fa\u91d1\u7684fund factsheet \u57fa\u91d1\u4fbf\u89bd\u5c0d\u65bc\u50b5\u5238\u7684\u8cc7\u6599\u62ab\u9732\u56b4\u91cd\u4e0d\u8db3<\/span>\uff0c\u9664\u4e86\u5bcc\u9054\u4e4b\u5916\uff0c\u7b46\u8005\u770b\u4e0d\u898b\u5176\u4ed6\u7684\u5f37\u7a4d\u91d1\u8a08\u5283\u6709\u62ab\u9732\u50b5\u5238\u7684duration \u5b58\u7e8c\u671f\uff0c\u4ee4\u8a08\u5283\u6210\u54e1\u5b8c\u5168\u4e0d\u77e5\u5e02\u5834\u5229\u7387\u5347\u8dcc\u5c0d\u50b5\u5238\u57fa\u91d1\u7684\u5f71\u97ff\u3002<\/span><\/span><\/p>\n
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\u73fe\u6642(2022\u5e745\u6708) \u50b5\u5238\u57fa\u91d1\u7684\u50f9\u683c\u4e0b\u8dcc\uff0c\u90a3\u9ebc\u61c9\u8a72\u8ce3\u51fa\u55ce\uff1f\u904e\u53bb\u5df2\u7d93\u662f\u300c\u904e\u53bb\u300d\uff0c\u6295\u8cc7\u662f\u7acb\u8db3\u65bc\u300c\u73fe\u5728\u300d\uff0c\u800c\u9762\u5c0d\u300c\u672a\u4f86\u300d\u3002\u300c\u73fe\u5728\u300d\u4f86\u8aaa\uff0c\u50b5\u50f9\u4e0b\u8dcc\u4ee4yield \u5b73\u606f\u7387\u4e0a\u5347\u52302%\u81f33%,\u00a0 \u5373\u662f\u8aaa\u73fe\u5728\u6301\u6709\u8a72\u50b5\u5238\u57fa\u91d1\u7684\u8a71\uff0c\u672a\u4f86\u4fbf\u6709\u6bcf\u5e742%\u81f33% (\u9084\u8981\u6e1b\u53bb\u958b\u652f) \u7684\u9810\u671f\u56de\u5831\u3002<\/span><\/p>\n
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\u518d\u8457\u773c\u65bc\u300c\u672a\u4f86\u300d\u7684\u8a71\uff0c\u4fbf\u8981\u8003\u616e\u672a\u4f86\u6703\u5426\u518d\u52a0\u606f<\/span>\u3002\u73fe\u6642\u5e02\u5834\u5df2\u53cd\u6620\u672a\u4f86\u52a0\u606f\u52303%\u7684\u60c5\u6cc1\uff0c\u5047\u5982\u901a\u8139\u6301\u7e8c\u5730\u9ad8\uff0c\u606f\u53e3\u53ef\u80fd\u6703\u52a0\u52305%\u81f36%\uff0c\u7531\u73fe\u5728\u9810\u671f\u76843%\u4e0a\u5347\u81f3\u672a\u4f865%\u81f36% \u7684\u8a71\uff0c\u50b5\u5238\u5e02\u50f9\u5c07\u6703\u518d\u4e0b\u8dcc\uff0c\u5373 “\u52a0\u606fx<\/strong> Duration \u5b58\u7e8c\u671f” = <\/span><\/strong><\/span>2x 8 =16% \u81f3 3×8=24%\u3002<\/span><\/p>\n
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\u4e0d\u904e\uff0c\u5373\u4f7f\u662f\u5bcc\u9054\uff0c\u4ea6\u6c92\u6709\u62ab\u9732 (weighted average)\u00a0 maturity \u5230\u671f\u5e74\u671f\uff0c(weighted average)\u00a0 coupon \u7968\u9762\u606f\u7387\uff0c\u751a\u81f3\u662f current yield,\u00a0 equity beta \u53caconvexity \u7b49\u7b49\u90fd\u6c92\u6709\u62ab\u9732\uff0c\u9019\u4e9b\u8cc7\u8a0a\u662f\u8861\u91cf\u50b5\u5238\u57fa\u91d1\u7684\u57fa\u672c\u8cc7\u6599\uff0c\u5c24\u5176\u662f\u65bc\u5e02\u5834\u5229\u7387\u5927\u5347\u5927\u8dcc\u7684\u6642\u5019\u3002<\/span><\/p>\n
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\u5c0f\u7d50<\/span><\/strong><\/span><\/p>\n
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\u50b5\u5238\u6295\u8cc7\u4e0d\u53ea\u662f\u4e0a\u8ff0\u7684\u6536\u76ca\u7387\/\u5b73\u606f\u7387 (yield) vs \u7968\u9762\u606f\u7387(coupon) \u53ca \u5b58\u7e8c\u671f (duration) vs \u5230\u671f\u5e74\u671f (maturity)\uff0c<\/span>\u4f46\u81f3\u5c11\u5f37\u7a4d\u91d1\u7684\u8cc7\u8a0a\u8981\u5305\u542b\u9019\u4e9b\u91cd\u8981\u6578\u5b57\u3002<\/strong><\/span><\/span><\/p>\n
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\u52a0\u5f37\u50b5\u5238\u57fa\u91d1\u7684\u8cc7\u8a0a\u62ab\u9732\u662f\u523b\u4e0d\u5bb9\u7de9\uff0c\u5e0c\u671b\u5f37\u7a4d\u5c40\uff0c\u8a08\u5283\u53d7\u8a17\u4eba\u53ca\u6295\u8cc7\u7d93\u7406\u53ef\u4ee5\u6b63\u8996\u4e00\u4e0b<\/span><\/strong>\uff0c\u628a\u57fa\u91d1\u4fbf\u89bd\u7684\u8cc7\u6599\u66f4\u52a0\u8c50\u5bcc\u53ca\u9069\u7528\u3002<\/span><\/p>\n
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\u5ef6\u4f38\u601d\u8003<\/strong><\/span><\/p>\n
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\u5982\u679c\u4eba\u6c11\u5e63\u6e1b\u606f1%,\u00a0 \u4e0b\u5716\u7684\u4eba\u6c11\u5e63\u50b5\u5238\u57fa\u91d1\u5e02\u50f9\u6703\u4e0a\u5347\u5e7e\u591a\u5462\uff1f<\/span><\/p>\n
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\u5982\u679c\u9999\u6e2f\u672a\u4f863\u5e74\u5167\u5c07\u6703\u52a0\u606f3% , \u4e0b\u5716\u7684\u6e2f\u5143\u50b5\u5238\u57fa\u91d1\u6703\u4e0b\u8dcc\u591a\u5c11\u5462\uff1f<\/span><\/p>\n
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$\"$ <\/a><\/span><\/p>\n
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