Bond strategies Behind or in front of the curve?

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1 Bonds Bond strategies Behind or in front of the curve? Understand. Act.

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3 Bonds Content 4 On the curve 5 In front of the curve 7 The curve in motion 7 Government bond strategies 9 Spread strategies Imprint Allianz Global Investors GmbH Bockenheimer Landstr Frankfurt am Main Global Capital Markets & Thematic Research Hans-Jörg Naumer (hjn) Ann-Katrin Petersen (akp) Stefan Scheurer (st) Gregor Krings Data origin if not otherwise noted: Thomson Reuters Datastream Allianz Global Investors / AllianzGI_VIEW 3

4 Bonds Bond strategies Behind or in front of the curve? We will start off with a look at top-rated government bonds denominated in the same currency, such as bonds from Germany and France. We will close with a look at the options as regards different currencies, issuers and credit ratings. On the curve Bond strategies make bets directly on the yield curve. There are three basic types of strategies: normal, flat and inverted (see Box 1 and Chart 1). The normal curve in which yields rise as maturities get longer is most typical. The longer the investment period, the longer the investor is deprived of the use of his money. At the same time, his exposure to interest-rate risk increases if he wishes to sell before maturity. This has its price. But an inverted curve is also seen sometimes. Astonishingly, as maturities lengthen, yields fall. This can happen when, for example, a central bank combats inflation by raising interest rates. Yields on short maturities rise as key interest rates go up. Investors expect the tight monetary policy to bring inflation rates down. At the same time, nominal yields on bonds with medium-term and longer maturities fall. This is investing on the curve. However, investors who wish to play a more active role on the bond markets need to be in front of the curve. They have to recognise changes before they take place. Failing to do so leaves them behind the curve rather than in front of it. Box 1: Yield curve The yield curve represents the internal interest rate of zero-coupon bonds of different maturities but of the same credit quality. That is, it assigns each zero-coupon bond an interest rate in accordance with its maturity. This interest rate represents the amount by which the fair value of the zero-coupon bond is discounted at maturity. In practice, the corresponding yields of government bonds across the maturity spectrum are used. There are three types of yield curve, based on the slope: Normal: Interest rates increase with maturities. Flat: Interest rates are the same across all maturities. Inverted: Interest rates fall as residual terms to maturity increase. 4

5 In front of the curve But how do you get in front of the curve? How do you recognise whether yields across all maturities will rise or fall equally or if a rotation is occurring? The key is knowing what to expect. Knowing what to expect The main question to ask is where the economy is headed. Is it experiencing growth or is it in recession? Are factories running at capacity and are prices rising? Or is capacity utilisation low and unemployment high, making it difficult for companies to maintain pricing or even forcing them to lower prices? Another question to ask is whether net government borrowing is rising or falling: i.e. whether treasury departments are issuing more or fewer bonds than expected. Public sector capital requirements have a direct impact on yields. Economic and inflation expectations can have an effect along the entire yield curve. Monetary Policy Expectations regarding central bank policies are closely related to these questions. The monetary policy of the central bank has a direct impact on the money market (short maturities; for example, interest rates on three-month money), as they make use of their monetary policy instruments in this segment. But central bank policies can also have an indirect effect on medium-term and longer maturities. Yields on medium-term maturities are closely tied to expectations regarding monetary policy. The reason for this is arbitrage equilibrium. Example: Yields on six- and twelve-month bonds are known. If a certain amount of money is invested today for six months, the reinvestment of this amount in six months time must produce the same yield as an alternative investment made for twelve months at the time the original investment was made. This can be accomplished by using a futures contract to lock in the interest rate prevailing at the time of the reinvestment. If this is not the case, the yield difference can be arbitraged with no risk. As a rule, no such free lunches are possible in efficient capital markets. The (implied) forward rate that will be paid on a six-month investment in six months time can be calculated using this arbitrage equilibrium. Chart 1: Types of yield curve 6 5 Yield in % Y 2Y 3Y 4Y 5Y 6Y Maturity 7Y 8Y 9Y 10Y 11Y 12Y normal ( ) flat ( ) inverted ( ) Source: Datastream: Allianz Global Investors Capital Markets & Thematic Research, Data as of July

6 Bonds Butterfly Rotation Expectations are changing now. Central banks seem to be giving signs that they will be easing monetary policy in the future. Interest rates will be lower tomorrow than today, which will probably lead to a reduction in forward rates. If the drop is expected in six months, the forward rate for six-month money falls. If the current rate for six-month money is unchanged, provided arbitrage equilibrium exists, the twelve-month rate would have to fall, too. This means that central banks can use expectations to influence interest rates that they cannot directly manage with their monetary policy instruments. But there s more to it than just that. The easing of interest rates may also be an indication that central bankers expect inflation to fall. Declining inflation expectations then have an effect on longer maturities. This can also result in higher prices on bonds with longer maturities and in lower yields. The curve in motion The yield curve is (almost) always in motion. There are two movement patterns, which are connected with different strategic considerations (see Charts 2 4): A shift in the curve Rotation A shift in the curve may involve a parallel shift or a butterfly a change in the shape of the yield curve. In a parallel shift, all interest rates rise or fall equally across all maturities. The opposite holds true for negative butterflies: interest rates on medium-term maturities rise, while they fall in all other segments. Rotation can involve either a flattening or steepening of the yield curve. Both types of rotation are connected with maturity spreads, that is, the yield differential between the individual maturities. When the curve flattens, spreads narrow, and when it steepens, they widen. Government bond strategies Strategies based on changes in the yield curve focus on two points: Duration The maturity of the bonds Duration The duration of a bond portfolio can be selectively shortened or lengthened depending on the investor s expectations. This is done using the price sensitivity with which the portfolio reacts to a change in interest rates. For example, if a portfolio has a duration of 4.5 years and a one percentage point (equivalent to 100 basis points) drop in interest rates is expected, an additional profit of 100 basis points is produced by lengthening duration to 5.5 years. This is because if interest rates fall by one percentage point the price of the portfolio increases by 4.5 % in accordance with the duration. If duration has been lengthened as in the example, a correspondingly higher gain is realised. Parallel shift In a butterfly, medium-term maturities behave differently from short and long maturities. A positive butterfly means that interest rates rise on short and long maturities while interest rates on medium-term maturities fall. It must be noted that the transfer of the concept of bond price sensitivity to an entire portfolio implies that the strategy assumes a parallel shift in the yield curve. This means that, if the yield on a bond with a five-year maturity rises / falls by 1 %, yields on six- or seven-year maturities (and so on) will do the same. 6

7 Chart 2: Yield curve movement patterns: parallel shift 7,00 % 6,00 % 5,00 % 4,00 % 3,00 % 2,00 % 1,00 % 0,00 % 1M 3M 6M 1J 2J 3J 4J 5J 6J 7J 8J 9J 10J 15J 20J 30J Initial Curve Parallel Upshift Parallel Downshift Source: Datastream: Allianz Global Investors Capital Markets & Thematic Research, Data as of July 2013 Chart 3:... flattening... 6,00 % 5,00 % 4,00 % 3,00 % 2,00 % 1,00 % 1M 3M 6M 1J 2J 3J 4J 5J 6J 7J 8J 9J 10J 15J 20J 30J Initial Curve Flattening Short End Flattening Long End Source: Datastream: Allianz Global Investors Capital Markets & Thematic Research, Data as of July 2013 Chart 4:... and steepening 6,00 % 5,00 % 4,00 % 3,00 % 2,00 % 1,00 % 1M 3M 6M 1J 2J 3J 4J 5J 6J 7J 8J 9J 10J 15J 20J 30J Initial Curve Steepening Short End Steepaning Long End Source: Datastream: Allianz Global Investors Capital Markets & Thematic Research, Data as of July

8 Bonds Maturities Other strategies with maturities do not involve changing the duration of an entire portfolio across all maturities, but selectively over- or underweighting individual maturities. There are three types of maturity strategies: Bullet Barbell Ladder The bullet strategy focuses on a particular maturity segment (such as medium-term maturities) or on a few consecutive maturities (for example residual terms to maturity of between seven and nine years). In the barbell strategy, the focus is on two different segments of the yield curve. For example, an investor may overweight five- and eight-year maturities. With all these strategies, however, it is important to note that no general statement can be made regarding which strategy is better given a particular (expected) change in interest rates. This can only be established using a simulation analysis in advance. Additional bond strategies We have thus far only talked about strategies that focus on the yield curve. Now let s take a look at the (yield) kick in the portfolio. This can be achieved through different currencies and credit ratings. Currencies There may be a yield differential (spread) on bonds denominated in other currencies, such as the US dollar, against bonds from the investor s country. There can be many reasons for this: higher capital requirements, different inflation expectations, expectations of changes in exchange rates, etc. Expectations determine the strategy Bullet, Barbell & Ladder The ladder strategy, on the other hand, does not focus on a particular maturity. Instead, it distributes portfolio assets equally across all maturities. The appropriate strategy is selected on the basis of the investor s interest rate expectations. For example, if the investor assumes that the central bank will keep money-market rates stable for an extended period of time, a normal yield curve may make it worthwhile to invest in medium-term maturities. This allows the investor to benefit from the roll down the yield curve effect (also called the time effect). With the passage of time, the residual terms to maturity of the bonds decrease, discounting decreases, the bonds approach their redemption price and rise in value. Expectations are key. For example, if an investor expects a currency to appreciate and this does in fact occur, he generates gains both from the higher yield and from the exchange rate. The investor also benefits when he bets on a stable exchange rate, that is, he does not expect the yield advantage to be offset by an exchange-rate disadvantage (devaluation of the foreign currency). Spread strategies In addition to taking advantage of expected exchange-rate gains and / or generating higher yields with government bonds from other countries, investors can also focus their selection on the change of spreads between bonds. Spreads between bonds denominated in the same currency are the result of the familiar 8

9 formula: the lower the credit rating, the higher the yield. The credit rating may relate to governments (industrial countries vs. emerging markets) or companies (for example, government bonds vs. investment-grade or speculative-grade corporate bonds). Spread strategies focus on two investor objectives: Generating higher returns potential and Price gains resulting from a narrowing of spreads An investor who places greater emphasis on higher yields will expect spreads to remain unchanged. For example, he may invest part of his money in emerging market bonds or corporate bonds in order to improve his yield in comparison to generally safer top-rated government bonds. If he (also) seeks price gains, he will expect the risk premium, i.e. the spread, to narrow. This can happen when, for example, a company s financial situation improves and the default risk of the bond decreases accordingly. This usually results in an increase in the company s credit rating and thus in a reduction of the spread. If the risk premium falls while the yield on the (benchmark) government bond is unchanged, the price of the bond rises. The two sides of total return In the end, all bond strategies on both sides of total return focus on maximising the Price and Interest income Whether the strategies focus solely on the yield curve or also take exchange-rate fluctuations and spreads into account, the key is the right range and a high level of management expertise. Hans-Jörg Naumer 9

10 Bonds Do you know the other publications of Capital Market Analysis? Risk. Management. Reward. Smart Risk investing in times of financial repression Managing Risk in a time of Deleveraging Active Management The New Zoology of Investment Risk Management Constant Proportion Portfolio Insurance (CPPI) Portfolio Health Check : Preparing for Financial Repression Financial Repression Shrinking mountains of debt International monetary policy in the era of financial repression: a paradigm shift Financial Repression and Regulation: Paradigm Shift for Insurance Companies & Institutions for Occupational Retirement Provision Silent Deleveraging or debt haircut? that is the question Financial Repression A silent way to reduce debt Financial Repression It is happening already EMU You can find our wide-ranging supply of publications on the euro on our site Eurozone Resource Center Bonds Duration Risk: Anatomy of modern bond bear markets Emerging Market currencies are likely to appreciate in the coming years High Yield corporate bonds US High-Yield Bond Market Large, Liquid, Attractive Credit Spread Compensation for Default Corporate Bonds Why Asian Bonds? Dividends Dividend Strategies and Troughs in Earnings Revisions Dividend Stocks an attractive addition to a portfolio Dividend strategies in an environment of inflation and deflation High payout ratio = high earnings growth in the future Changing World Renewable Energies Investing against the climate change The green Kondratieff Crises: The Creative Power of Destruction Demography Pension Discount rates low on the reporting dates IFRS Accounting of Pension Obligations Demographic Turning Point (Part 1) Pension Systems in a Demographic Transition (Part 2) Demography as an Investment Opportunity (Part 3) Behavioral Finance Reining in Lack of Investor Discipline: The Ulysses Strategy Overcoming Investor Paralysis: Invest more tomorrow Outsmart yourself! Investors are only human too Two minds at work All our publications, analysis and studies can be found on the following webpage: 10

11 Investing involves risk. The value of an investment and the income from it will fluctuate and investors may not get back the principal invested. Bonds are subject to interest rate risk and the credit risk of issuer. Past performance is not indicative of future performance. This is a marketing communication. It is for informational purposes only. This document does not constitute investment advice or a recommendation to buy, sell or hold any security and shall not be deemed an offer to sell or a solicitation of an offer to buy any security. The views and opinions expressed herein, which are subject to change without notice, are those of the issuer or its affiliated companies at the time of publication. Certain data used are derived from various sources believed to be reliable, but the accuracy or completeness of the data is not guaranteed and no liability is assumed for any direct or consequential losses arising from their use. The duplication, publication, extraction or transmission of the contents, irrespective of the form, is not permitted. This material has not been reviewed by any regulatory authorities. In mainland China, it is used only as supporting material to the offshore investment products offered by commercial banks under the Qualified Domestic Institutional Investors scheme pursuant to applicable rules and regulations. This document is being distributed by the following Allianz Global Investors companies: Allianz Global Investors U.S. LLC, an investment adviser registered with the U.S. Securities and Exchange Commission (SEC); Allianz Global Investors Europe GmbH, an investment company in Germany, authorized by the German Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin); RCM (UK) Ltd., which is authorized and regulated by the Financial Services Authority in the UK; Allianz Global Investors Hong Kong Ltd. and RCM Asia Pacific Ltd., licensed by the Hong Kong Securities and Futures Commission; Allianz Global Investors Singapore Ltd., regulated by the Monetary Authority of Singapore [Company Registration No Z]; and Allianz Global Investors Japan Co., Ltd., registered in Japan as a Financial Instruments Business Operator; Allianz Global Investors Korea Ltd., licensed by the Korea Financial Services Commission; and Allianz Global Investors Taiwan Ltd., licensed by Financial Supervisory Commission in Taiwan. 11

12 Allianz Global Investors GmbH Bockenheimer Landstr Frankfurt am Main July 2013

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