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Empirical Research on Index-based Investment Strategies in the Bond Market

Author: WuChangXi
Tutor: ZhouGuangWei
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Bond investment Index-based investment Sensitivity
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 199
Quote: 1
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Abstract


Bond is the main types of fixed-income products,and is also one of the two basic financial products.Western countries that have perfect capital markets have a well-developed bond market.Due to our country’s capital market starting late,the bond market is relatively lagging behind.However,since the State Council clearly put forward that we should steadily develop bond market,our country’s bond market has entered a stage of rapid development.After so many years of rapid development,our country’s capital market has already produced a large number of mature investors and institutional investors.These investors have different risk preferences,so they have different targets for investment requirements.Bonds have a definite duration and relatively determining cash flow,so they are suitable for investors who are risk-averse and enjoying having a stable cash flow.Bonds can be distinguished many types according to different attributes.These different types of bonds can meet the needs of different investors,so bonds become an important investment target of modern portfolio management.Bond portfolio investment can be significant not only because of it meeting different investors’s preferences,but also managing large asset becoming possible.Therefore,the study of bond portfolio investment has important practical significance.This paper focuses on the issues regarding bond portfolio investment. Starting from the general procedure of the investment portfolio, the paper compares different portfolio strategies,analing the advantages of index-based investment,and makes empirical research on index-based investment.The structure of this paper is as follow:Chapter 1 is the introduction,noting the main purpose of writing paper,the significance of selecting this subject,and the status of research,major research methods,research ideas and research content.Chapter 2 briefly introduces the concept, character,investment risk and types of bonds,then introduce the bond market develops. Chapter 3 introduces the cncepts and features of duration and convexity of bonds,and gives a sensitivity analysis about bond’s inerest rate and evaluation.Chapter 4 introduces the index-based investment. The index-based investment includes benchmark index and its selection,indexation investment approach and its selection and the performance evaluation of indexation investment.Chapter 5 introduce the empirical research on index-based bond portfolio management.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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