Using Daily Returns To Identify Bond Fund Risks

oppenheimer核心债券基金的崩溃有很多人抓到了如何发生这种头脑。过去二十年来看，看似安全的类别的债券基金损失了数亿美元。幸运的是，对于投资者来说，有工具和技术可提供可以帮助避免潜在灾难的预警标志。

OCB基金投入信贷和抵押贷款支持的证券，2008年损失了35％，而2009年前三个月又增加了10％。由于衍生物如全返回等衍生物，因此风险进一步增加了信用默认掉期。案件部分受到了巨大的关注，因为OCB基金的普及与529个国家计划导致数千个个体大学储蓄账户产生了显着的损失。即使作为课程诉讼被提交，核心问题仍然存在：可以从这个基金的崩溃中汲取哪些课程？

由于对抵押贷款支持证券的大规模杠杆投注，这不是第一次机构债券基金失去了大量价值。吹笛者政府收入基金在1994年的几个月内损失了30％以上。从1988年的成立于1994年初，该基金一直是其类别的最重要表现者之一。然而，这种绩效结果没有风险，因为基金管理团队稳步地将整个投资组合转移到抵押抵押责任和其他异国衍生物中。到1994年，基金的杠杆率达到50％，试图放大表现。利率上升和1994年4月的CMO市场崩溃最终导致了基金的垮台。

Similarly, the OCB fund managers are blamed for taking excessive risks that eventually led to significant losses. Research analysts are claiming that the fund’s reports did not indicate the levels of risk and leverage that would later be brought to light. It is apparent, however, that plenty of red flags were raised for investors. First, the fund’s managers were vocal about the risks they were taking and even stated their allegiance to commercial mortgage-backed securities in the pages of华尔街日报months before the fund’s collapse. Plus, the fund’s Securities and Exchange Commission filings for years showed investment in anything but safe government securities. Although some may argue that there is a significant delay in receiving the most recent fund positions, a crucial piece of fund information is delivered and available to the public daily — the fund’s net asset values.

Mutual fund NAVs, which are published daily in major newspapers and can be downloaded for free from Yahoo!, MSN and Google, are not only useful in monitoring one’s 401(k) portfolio, they contain a wealth of information about the inner workings of a fund. This concept was first advocated by Nobel laureate William Sharpe. In a series of papers in 1988–’92, he developed an approach now known as returns-based style analysis or “due diligence by replication.” The gist of this methodology, which has become ubiquitous in the analytic arsenal of both research analysts and investors, is that a fund’s return can be replicated by a basket of generic market indexes given scant information about the fund’s investment strategy. The resulting replication portfolio can provide insight into the manager’s strategy, style drift, selection skill and leverage — and even alert to potential fraud.

基于第一个回报率的工具主要使用贝塔投资策略ly returns, a method that continues to work very well for many funds. However, any fund investing in even a hint of derivatives demands daily oversight and the use of daily analytics. One might ask, could an options investor could afford to leave its positions unattended for a month? In this case, an analysis of the OCB fund using daily NAVs could have revealed both the embedded risks and the excessive leverage months before the fund’s collapse.

随着投资管理人员拥抱更复杂的衍生品，投资者应该使用适当的工具和技术来监测和衡量这些赌注。幸运的是，对于投资者来说，每日返回的分析都有显着进展。随着日常共同基金的途径，易于获得，大多数托管银行都能够提供机构投资组合的每日回报，现在可以使用每日退货的分析，以更好地保护其投资的投资专业人员。

Michael Markov.是联合创始人，首席执行官和研究总监马尔可夫进程国际，LLC（MPI），它为全球超过2,000名用户提供了金融定量工具和技术。