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Team Favorite At the Money: Managing Bond Duration

2025/1/1

Masters in Business

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Karen Vera

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播音员

主持著名true crime播客《Crime Junkie》的播音员和创始人。

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播音员: 长期债券在利率上升时风险较高，利率下降时收益较高；短期债券风险和收益都较低。 Karen Vera: 债券久期衡量的是债券价格对利率变化的敏感性，数值越高，价格波动越大。投资者应关注不同期限的久期（关键利率久期）和信用利差久期，以全面评估利率风险。2022年债券市场表现不佳，尤其长期债券损失惨重，这与通货膨胀和美联储加息有关。过去40年利率持续下降，这与央行对通胀的有效控制、全球化带来的效率提升以及人口老龄化有关。收益率曲线倒挂通常发生在经济衰退之前，市场预期短期利率将在利率上升期后下降，这导致投资者大量涌入超短期债券和货币市场基金。货币市场基金被认为是现金等价物，资金通常可以在一天内提取。但随着美联储可能在未来降息，投资者开始构建债券阶梯，增加中期久期债券配置，以在利率下降时获得价格上涨和收益。目前资金仍然大量持有，只有在货币市场基金收益率下降时才会开始转向债券。加拿大市场上资金已经开始更快地流向债券。预计未来资金将流向债券，尤其是在人们注意到现金类产品的利率下降时。现在投资债券并非为时已晚，市场已经领先于美联储，利率已经开始下降。利率反弹时是买入债券的好时机。投资者应该评估其现金头寸的用途，并根据未来收益预期调整股票和债券的配置比例。投资者应该增加中期久期债券的配置，以获得价格上涨和收益。长期债券具有类似股票的波动性，但可以有效对冲股票市场风险。长期国债ETF在8月份资金流入量最高，这反映了投资者对冲股票市场风险的需求。长期债券可以帮助平滑投资组合收益。投资者应该认识到降息周期即将到来，并及早投资长期高收益债券。 Karen Vera: 债券的久期是其利率风险的度量，表示价格对利率变化的敏感性。久期数值越高，利率变化对债券价格的影响越大。然而，这只是一个平均值，实际情况更为复杂，因为不同期限的债券对利率变化的敏感度不同，投资者还需考虑信用利差久期。2022年是债券市场表现糟糕的一年，特别是长期债券损失惨重，这与当时通货膨胀和美联储加息的背景有关。过去几十年利率持续下降，这与多种因素有关，例如央行对通胀的有效控制、全球化带来的效率提升和人口老龄化等。收益率曲线倒挂通常预示着经济衰退，并暗示短期利率未来可能下降。目前，许多投资者将资金持有在现金或超短期债券中，以应对这种不确定性。然而，随着美联储可能降息，投资者开始考虑增加中期久期债券的配置，以在利率下降时获得价格上涨和收益。货币市场基金虽然流动性高，但收益率可能随着利率下降而降低。因此，构建债券阶梯，增加中期久期债券配置，可以在获得较高收益的同时，降低利率风险。长期债券虽然波动性较大，但可以作为对冲股票市场风险的工具。

Deep Dive

Key Insights

What is bond duration and why is it important for investors?

Bond duration measures the interest rate risk of a bond, indicating how much the bond's price will change in response to a change in interest rates. For example, if a bond has a duration of 5, a 1% increase in interest rates will cause the bond's value to drop by 5%. Duration is crucial for investors to quantify potential losses from rate changes and manage risk exposure across different points on the yield curve.

How did the 2022 rate hikes impact bond performance?

The 2022 rate hikes led to one of the worst years for bond performance in decades. The aggregate bond index, representing the taxable bond market, fell by about 13%. Long-duration bonds, such as 20+ year Treasuries, experienced over 20% losses. This was particularly painful for investors who had moved into bonds after the Fed's zero-interest-rate policy post-COVID. Notably, 2022 was the first year since 1981 where both stocks and bonds saw double-digit declines.

Why have interest rates been declining for the past 40 years?

Interest rates have declined over the past 40 years due to several factors: improved central bank management of inflation, globalization leading to cheaper and more efficient production, and demographic changes like aging populations, which reduce consumption and demand for higher rates. These tailwinds have contributed to a prolonged period of falling rates, making it the longest bond bull market in modern history.

What is the significance of an inverted yield curve for bond investors?

An inverted yield curve, where short-term rates are higher than long-term rates, typically signals an impending recession and expectations of future rate cuts. In such scenarios, investors often move into ultra-short-duration bonds or money market funds to avoid risk. For example, in 2024, many investors held cash or ultra-short-term bonds, with financial advisors reducing their cash allocations from over 10% to 7%.

How do money market funds compare to longer-duration bonds in a rising rate environment?

Money market funds are considered cash equivalents, offering liquidity and yields of around 5% in a rising rate environment. However, as rates fall, these yields will decline. Investors are increasingly adding intermediate-duration bonds (3-7 years) to lock in higher yields and benefit from price appreciation when rates drop. This strategy provides both income and potential capital gains as the yield curve normalizes.

What should investors consider when managing longer-duration fixed income?

Longer-duration fixed income carries higher volatility, similar to equities, but can serve as an effective hedge against equity market downturns. For example, long-duration Treasuries often see inflows during market volatility, as seen with the TLT ETF in August 2024. Investors with equity-heavy portfolios can use long-duration bonds to smooth returns and reduce overall portfolio risk.

What is the outlook for bond investors as the Fed begins cutting rates?

As the Fed begins cutting rates, bond investors should consider moving into intermediate-duration bonds to lock in higher yields and benefit from price appreciation. Waiting too long could mean missing opportunities to secure long-duration bonds at favorable rates. The bond market has already started pricing in rate cuts, and investors are advised to adjust their strategies ahead of the next wave of cuts.

Shownotes Transcript

How should investors manage bond duration in an era of rising – and soon likely falling – interest rates?

The challenge is that the longer the duration your bonds are, the higher yield usually is, but the more vulnerable those bonds are to rising rates. When rates fall, long-duration bonds go up (shorter duration much less). There are many ways investors can take advantage of changing interest rates. For more on the subject, Barry Ritholtz speaks with Karen Veraa, Head of iShares US Fixed Income Strategy at BlackRock.

Each week, “At the Money” discusses an important topic in money management. From portfolio construction to taxes and cutting down on fees, join Barry Ritholtz to learn the best ways to put your money to work.

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