Chapter 8 Building a Ladder to Success
第8章 构建成功的阶梯债券投资策略
I was a portfolio manager for two of Canada's most prominent financial organizations, managing billions of dollars of other people's money in the form of life insurance, pension funds, and mutual funds. I invested the first dollar for what is now Canada's largest public mutual bond fund (Investor's Bond Fund) in 1979. Investors Group (now IGM) has since split this fund into two funds — the Government Fund and the Corporate Fund. It is worth remembering as you read this chapter that I have a balanced perspective on both individual fixed-income securities and mutual bond funds.
我曾是加拿大两家最知名金融机构的投资组合经理，管理着以人寿保险、养老金及共同基金形式存在的数十亿资金。我在1979年为现今加拿大最大的公共共同债券基金（Investor's Bond Fund）投资了第一笔资金。此后，Investors Group（现IGM）将该基金拆分成了两只基金——政府基金和公司基金。在阅读本章时请记住，我对于单个固定收益证券和共同债券基金均持平衡的看法。
LADDERING
阶梯策略
There is a tried-and-true strategy for fixed-income investing that ensures above-average results. It is called the laddered or staggered-maturity strategy. Simply, this involves dividing a given sum of money into equal portions and investing these portions in bonds of regularly spaced maturities. For example, assuming an amount of $250,000, one could divide this into ten amounts of $25,000 and invest each amount in maturities of one year, two years, and all the way to ten years.
What is the rationale for such a strategy? First, it eliminates the risk of having all the money invested in a single maturity, thus avoiding the possibility of having to reinvest it a lower rate upon maturity. Second, it takes the guesswork out of interest rates. No one money manager has ever consistently and accurately forecast the direction of interest rates. The laddered strategy takes away the guesswork, since there is always something about to mature for reinvestment while the rest of the funds are spread out in the various maturities. The net effect is to smooth out long-term returns and avoid the yield traps, as I discussed in the yield curve section. Third, it allows for diversification by issuer, thus reducing credit risk.
Sticking with our one- to ten-year ladder example, when the one-year bond matures, that money is reinvested in a ten-year bond, since the previous ten-year bond now has a nine year term to maturity.
固定收益投资中有一种经过反复检验的策略，可以确保获得高于平均水平的回报。这种策略被称为阶梯或分期到期策略。简单来说，该策略就是将一定数额的资金划分为均等份额，并以定期间隔的期限投资于债券。例如，假设有25万美元，可以把这笔钱分成十份，每份2.5万美元，分别投资于到期日为1年、2年，一直到10年的债券中。
这种策略的原理是什么？首先，它消除了所有资金都集中于单一到期日的风险，从而避免了在到期时以较低利率进行再投资的可能性。其次，它消除了对利率走势的猜测。没有哪个基金经理能够始终如一、准确地预测利率的走向。阶梯策略消除了这种猜测，因为总有一部分资金即将到期可以再投资，而其他部分资金分散在不同到期日。其净效果就是使长期收益更加平滑，并避免如我在收益率曲线部分讨论的收益率陷阱。第三，它通过分散投资发行人来实现多元化，从而降低信用风险。
以1年至10年阶梯策略为例，当1年期债券到期时，该笔资金会被再投资于一只10年期债券，因为之前的10年期债券此时剩下9年的到期期限。
Examples following will illustrate this. First is the laddered portfolio that I used in the last edition. Then, as I did with zero coupon ladders in the Zero Coupon chapter, I reinvested the maturing bonds since then to illustrate how ladders work. These examples are portfolios with interest-bearing securities in them. Typically, these are taxable portfolios, meaning that the investors require the income. Thus, I did not add the annual income back into the portfolios. Should these portfolios be added to an RRSP, then the interest payments would be added to the portfolio when sufficient funds would make it practical to do so. Also, since this is a buy-and-hold strategy, provincial and corporate bonds should be used, and enhanced compound yield will result. This is because Government of Canada bonds, the most liquid, are also the lowest yielding, and you do not need the liquidity in a buy-and-hold portfolio. The extra yield from investing in higher yielding provincials and corporates will compound over time to provide a greater retirement amount. Here is an example of what a laddered portfolio looks like:
| Issuer | Coupon | Maturity | Quantity | Price | YTM | Ann. Equiv. | Total Value |
|---|---|---|---|---|---|---|---|
| Thomson | 4.35% | Dec. 1/09 | $25,000.00 | $100.16 | 4.219% | 4.264% | $25,040.00 |
| CIBC | 3.75% | Sept. 9/10 | $25,000.00 | $98.46 | 4.530% | 4.582% | $24,615.00 |
| GE Capital | 4.75% | May 2/11 | $25,000.00 | $100.56 | 4.527% | 4.579% | $25,140.00 |
| Royal Bank | 4.53% | May 7/12 | $25,000.00 | $100.35 | 4.426% | 4.475% | $25,087.50 |
| Manitoba | 4.25% | June 3/13 | $25,000.00 | $102.25 | 3.734% | 3.769% | $25,562.50 |
| Royal Bank | 4.71% | Dec. 22/14 | $25,000.00 | $98.50 | 4.987% | 5.049% | $24,625.00 |
| Telus | 5.95% | Apr. 15/15 | $25,000.00 | $101.27 | 5.717% | 5.799% | $25,317.50 |
| Nfld. Hydro | 4.30% | Oct. 3/16 | $25,000.00 | $100.68 | 4.200% | 4.244% | $25,170.00 |
| Ontario | 4.30% | Mar. 8/17 | $25,000.00 | $100.87 | 4.178% | 4.222% | $25,217.50 |
| Suncor | 5.80% | May 22/18 | $25,000.00 | $101.50 | 5.598% | 5.767% | $25,375.00 |
| $250,000.00 | 4.612% | 4.666% | $251,150.00 | ||||
| Duration 4.53 years Annual income $11,672.50 |
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下面的例子将会对此进行说明。首先是我在上一版中采用的阶梯投资组合。随后，正如我在零息债券阶梯章节中所做的那样，我将到期的债券再投资，以说明阶梯策略是如何运作的。这些例子中的投资组合都包含计息证券。通常来说，这些投资组合是应税投资组合，意味着投资者需要收入。所以，我没有将每年的收益再加入投资组合。如果将这些投资组合放入注册退休储蓄计划（RRSP）中，那么当资金充足且可行时，利息支付将会再加入到投资组合中。另外，由于这是一种买入持有策略，应使用省级及公司债券，从而能实现复合收益的提升。原因在于，加拿大政府债券虽然流动性最高，但收益率却最低，而在买入持有的投资组合中并不需要流动性。从收益率较高的省级和公司债券的额外收益率将随时间复合，提供更高的退休金。下面是一个阶梯投资组合的例子：
| 发行人 | 票息 | 到期日 | 金额 | 价格 | 到期收益率 | 年化等效 | 总价值 |
|---|---|---|---|---|---|---|---|
| Thomson | 4.35% | Dec. 1/09 | $25,000.00 | $100.16 | 4.219% | 4.264% | $25,040.00 |
| CIBC | 3.75% | Sept. 9/10 | $25,000.00 | $98.46 | 4.530% | 4.582% | $24,615.00 |
| GE Capital | 4.75% | May 2/11 | $25,000.00 | $100.56 | 4.527% | 4.579% | $25,140.00 |
| Royal Bank | 4.53% | May 7/12 | $25,000.00 | $100.35 | 4.426% | 4.475% | $25,087.50 |
| Manitoba | 4.25% | June 3/13 | $25,000.00 | $102.25 | 3.734% | 3.769% | $25,562.50 |
| Royal Bank | 4.71% | Dec. 22/14 | $25,000.00 | $98.50 | 4.987% | 5.049% | $24,625.00 |
| Telus | 5.95% | Apr. 15/15 | $25,000.00 | $101.27 | 5.717% | 5.799% | $25,317.50 |
| Nfld. Hydro | 4.30% | Oct. 3/16 | $25,000.00 | $100.68 | 4.200% | 4.244% | $25,170.00 |
| Ontario | 4.30% | Mar. 8/17 | $25,000.00 | $100.87 | 4.178% | 4.222% | $25,217.50 |
| Suncor | 5.80% | May 22/18 | $25,000.00 | $101.50 | 5.598% | 5.767% | $25,375.00 |
| $250,000.00 | 4.612% | 4.666% | $251,150.00 | ||||
| 存续期 4.53年 年收入 $11,672.50 | |||||||
Let us examine this portfolio. You will notice there are no Government of Canada bonds in it. Since this portfolio is not going to be actively traded, there is no point in investing in the lowest-yielding bonds in the bond market when there are good-quality provincial and corporate issues available that offer higher yield that will compound in your favour (remember the compound yield section). The average duration of this portfolio is 4.53 years. The most important feature is that the maturities span the length of approximately two business cycles. This portfolio will likely outperform the majority of professional fund managers because you are not paying annual management fees, you hold no Canadas, and you are not guessing which way interest rates are going. Following is what this portfolio looks like after the 2009 maturity and the 2010 maturity.
让我们来审视一下这个投资组合。你会注意到，其中没有加拿大政府债券。由于这个投资组合不会被频繁交易，因此在有质量较高的省级和公司债券且能提供更高收益率（收益率复合部分请记得）的情况下，没有必要投资于市场上收益率最低的债券。该投资组合的平均存续期为4.53年。最重要的特征是其到期日跨越了大约两个经济周期。由于你不必支付年度管理费，也没有持有过多的加拿大国债，更不会去猜测利率的变化方向，因此这个投资组合很可能会跑赢大多数专业基金经理。下面展示了该投资组合在2009年到期后以及2010年到期后的情况。
| Issuer | Coupon | Maturity | Quantity | Price | YTM | Ann. Equiv. | Total Value |
|---|---|---|---|---|---|---|---|
| CIBC | 3.75% | Sept. 9/10 | $25,000.00 | $101.50 | 1.783% | 1.791% | $25,375.00 |
| GE Capital | 4.75% | May 2/11 | $25,000.00 | $104.08 | 1.824% | 1.832% | $26,020.00 |
| Royal Bank | 4.53% | July 5/12 | $25,000.00 | $106.09 | 2.105% | 2.116% | $26,522.50 |
| Manitoba | 4.25% | June 3/13 | $25,000.00 | $106.97 | 2.174% | 2.186% | $26,742.50 |
| Royal Bank | 4.71% | Dec. 22/14 | $25,000.00 | $108.16 | 2.961% | 2.983% | $27,040.00 |
| Telus | 5.95% | Apr. 15/15 | $25,000.00 | $111.00 | 3.674% | 3.708% | $27,750.00 |
| Nfld. Hydro | 4.30% | Oct. 3/16 | $25,000.00 | $105.68 | 3.363% | 3.391% | $26,420.00 |
| Ontario | 4.30% | Aug. 3/17 | $25,000.00 | $105.85 | 3.426% | 3.455% | $26,462.50 |
| Suncor | 5.80% | May 22/18 | $25,000.00 | $107.31 | 4.742% | 4.798% | $26,827.50 |
| Emera | 4.83% | Dec. 2/19 | $25,000.00 | $100.64 | 4.749% | 4.805% | $25,160.00 |
| $250,000.00 | 3.080% | 3.107% | $264,320.00 | ||||
| Duration 4.32 years Annual income $11,792.50 |
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| Issuer | Coupon | Maturity | Quantity | Price | YTM | Ann. Equiv. | Total Value |
|---|---|---|---|---|---|---|---|
| GE Capital | 4.75% | May 2/11 | $25,000.00 | $101.80 | 1.934% | 1.944% | $25,450.00 |
| Royal Bank | 4.53% | May 7/12 | $25,000.00 | $104.20 | 1.947% | 1.956% | $26,050.00 |
| Manitoba | 4.25% | June 3/13 | $25,000.00 | $106.30 | 1.874% | 1.883% | $26,575.00 |
| Royal Bank | 4.71% | Dec. 22/14 | $25,000.00 | $107.83 | 2.759% | 2.779% | $26,957.50 |
| Telus | 5.95% | Apr. 15/15 | $25,000.00 | $110.91 | 3.369% | 3.397% | $27,727.50 |
| Nfld. Hydro | 4.30% | Oct. 3/16 | $25,000.00 | $107.39 | 2.960% | 2.982% | $26,847.50 |
| Ontario | 4.30% | Mar. 8/17 | $25,000.00 | $107.30 | 3.053% | 3.076% | $26,825.00 |
| Suncor | 5.80% | May 22/18 | $25,000.00 | $110.87 | 4.137% | 4.179% | $27,717.50 |
| Emera | 4.83% | Dec. 2/19 | $25,000.00 | $103.00 | 4.430% | 4.479% | $24,935.00 |
| B.C. | 3.70% | Dec. 18/20 | $25,000.00 | $99.75 | 3.019% | 3.044% | $24,935.00 |
| $250,000.00 | 3.019% | 3.044% | $264,835.00 | ||||
| Duration 4.54 years Annual income $10,855.00 |
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As is evident, each maturing bond was invested in a new ten-year bond as the previous ten-year became a nine-year bond with the passage of time. Also, I did not reinvest the income, as it is typically spent in a taxable account. I was able to purchase $25,000 of each of the two new bonds as they were at or close to par. As this was a period of falling interest rates and a steep yield curve, most of the prices have risen. This is one of my principal points about ladders, particularly ten-year ones. There is no guesswork and the maturity diversification pays off. Even though the funds from the maturing bonds were reinvested at lower yields, the rest of the portfolio, especially the five- to ten-year bonds, appreciated significantly. Many investors, awaiting higher yields during this period, might have deployed funds in the money market.
显而易见，随着时间的推移，每只到期的债券都会用来购买新的十年期债券，因为原来的十年期债券随着时间流逝变成了九年期债券。另外，我没有将所得收益再投资，因为在应税账户中，这部分收益通常会被花费掉。我能够以面值或接近面值的价格购买每只价值25,000美元的新债券。这是一个利率下行且收益率曲线陡峭的时期，所以大部分债券的价格都上升了。这正是我强调阶梯策略（尤其是十年期阶梯策略）的主要原因之一。这种策略没有任何猜测，且到期日分散带来了实际收益。尽管到期债券的资金再投资时所获得的收益率较低，但投资组合中其他部分，尤其是五至十年期债券，则大幅升值。在此期间，许多投资者可能由于等待更高的收益率，而将资金配置在货币市场上。
With the ten-year ladder, your money is always fully invested and you do not run the risk of having too much of your money in the wrong maturity. The converse is true in a period of rising bond yields; while the longer maturities would fall in value, proceeds from the maturing bonds would be invested in the higher yields in the ten-year maturity, thus increasing income and yield.
采用十年期阶梯策略，你的资金始终处于充分投资状态，同时也不会面临将过多资金集中在错误期限上的风险。反之，在债券收益率上升的时期，虽然长期债券的市值会下跌，但到期债券的资金会以更高的收益率在十年期债券上进行再投资，从而提高收入和整体收益率。
Also note that the portfolio is diversified by credit. My rule is to have no more than 10 percent in any one credit. In this case, I have two positions in Royal Bank. I could exchange one of them for a different credit or I could wait for the 2012 bond to mature and deploy the funds in a different credit then.
还要注意，投资组合在信用风险上实现了分散。我的原则是单一信用敞口不超过10%。在这种情况下，我在皇家银行持有两个仓位。我可以选择将其中一个仓位换成其他信用评级较高的债券，或者等待2012年到期的债券成熟，再利用这笔资金换成其他信用的债券。
This illustrates another feature of ladders; they do not have to be passive, hold-to-maturity portfolios. Rather, there are often opportunities in one of the maturities to exchange one bond for another to enhance income and yield. In the 2010 portfolio, for example, the Ontario 4.30 percent due 2017 could be traded (at the time of writing), after transaction costs of 1 percent, for BCE 5 percent due February 15, 2017, for a yield improvement of 81 basis points. The B.C. 3.70 percent of 2020 could be traded for Great West Lifeco 4.65 percent August 13, 2020, for a pickup in yield of 58 basis points. Why were these other bonds in the portfolio in the first place? There may have been no suitable alternatives at the time or they were relatively inexpensive.
这也说明了阶梯策略的另一个特点：它们不必是被动的、持有至到期的投资组合。实际上，经常会有机会在某个到期日上将一只债券交换成另一只，以提高收入和收益率。例如，在2010年的投资组合中，Ontario 4.30%到期于2017年的债券可以在扣除1%的交易费用后，交易为BCE 5%到期于2017年2月15日的债券，从而改善收益率81个基点；而B.C. 3.70%到期于2020年的债券则可以交易为Great West Lifeco 4.65%到期于2020年8月13日的债券，收益率提高58个基点。为什么这些债券最初会出现在投资组合中？可能是因为当时没有合适的替代品，或者它们相对价格较低。
There are variations on this theme, of course. Some investors prefer short-term ladders, others long-term, and some have maturities every second year or every six months. One also can invest a percentage in foreign pay securities for currency diversification. As well, some investors may wish to put, say, 75 percent of their portfolio into a laddered configuration and deploy the balance where they feel the maximum returns may be obtained
当然，这个主题有多种变体。有的投资者偏好短期阶梯，有的偏好长期，还有的每隔一年或每隔六个月设定一个到期日。另外，你也可以将一部分资金投资于外币计价的债券以进行货币分散投资。同样，也有投资者可能希望将投资组合的75%配置成阶梯结构，而将剩余部分投入到他们认为可以获得最大回报的领域中。
Over time, this approach has outperformed the majority of professional fund managers for the essential reasons that there is no guesswork involved, no annual management fees, and the funds are invested in bonds yielding more than Canada's. It is true that fees on individual fixed-income transactions average 1 percent, but note that for the above example only 10 percent of the portfolio matures annually, so, in effect, investors pay annual fees of only one-tenth of 1 percent compared with the average MER of 1.67 percent for managed bond funds.
随着时间的推移，这种方法由于不存在猜测、没有年度管理费用以及资金投入的是收益率高于加拿大国债的债券而跑赢了大部分专业基金经理。虽然单笔固定收益交易的费用平均约为1%，但请注意，在上述例子中，每年只有10%的投资组合到期，所以实际上，投资者支付的年度费用仅为1%的一成，而管理型债券基金的平均管理费用率（MER）为1.67%。
The ladder provides an investor with specific maturing amounts at specific dates. It permits investors to avoid the all important reinvestment risk of having all their money invested in the wrong maturity.
阶梯策略为投资者提供了在特定日期获得特定到期额的机会。它使得投资者避免了将所有资金投资于错误期限时所带来的再投资风险。
This strategy can be applied to both taxable accounts and retirement accounts. For RRSPs, a stripped-bond ladder may be used (see previous chapter), while interest-bearing bonds are normally employed in the taxable account. A younger investor may choose a long-term ladder. If investors are not starting with enough money for a complete ladder, they can select individual rungs, nicely spaced out, and fill in the gaps as funds become available. For instance, with $20,000, investors could begin by investing $10,000 in a one-year bond and the other $10,000 in a ten-year bond, then perhaps add a five-year maturity later, and so on. Laddering offers investors a great deal of flexibility and customization.
这种策略既可以应用于应税账户，也可以应用于退休账户。对于注册退休储蓄计划（RRSPs），可以采用分离债券（stripped-bond）的阶梯策略（参见前一章），而在应税账户中通常采用计息债券。一位年轻的投资者可能会选择长期阶梯策略。如果投资者起始资金不足以建立完整的阶梯策略，则可以选择部分期限，间隔合理，并在资金到位时逐步补充。例如，用20,000美元，投资者可以先投资10,000美元于一年期债券，另外10,000美元于十年期债券，之后或许再增加一只五年期的债券，依此类推。阶梯策略为投资者提供了极大的灵活性和定制化空间。
How do you choose the rungs on the ladder? If you have found a good IA, his or her organization should have an extensive inventory from which to choose. If you are dealing with an online or discount broker, they should provide the tools to enable you to construct such a portfolio yourself. Your aim should be to choose the highest yielding bonds for each rung that meet your credit quality threshold. The issue of credit quality is an important one and was addressed in the corporate bond section.
那么，如何选择阶梯中的各个期限呢？如果你找到了一个好的投资顾问（IA），他或她所在的机构应该有一个广泛的债券库存供你选择。如果你使用的是网络或折扣经纪，他们应该提供工具，帮助你自行构建这样一个投资组合。你的目标应该是选择每个期限中收益率最高且符合你信用质量门槛的债券。信用质量问题非常重要，在公司债券部分已有讨论。
This approach is also important in RRSPs. Even though the plan is sheltered, the same investment principles apply, except that you would build a ladder of strips; since strips can be rolled into an RRIF, there is no compelling need to concentrate maturities at retirement age. Consider the following RRSP laddered portfolio, repeated from Chapter 5, constructed for a typical boomer couple. Assume that they are in their early fifties, empty nesters, their children have repaid them for their university costs, and they have a combined RRSP of $283,349.50.
这种方法在注册退休储蓄计划（RRSPs）中同样适用。即使计划是免税的，同样的投资原理也同样适用，只不过你会构建一个由分离债券构成的阶梯；由于分离债券可以转换为注册退休收入基金（RRIF），因此不必在退休年龄时集中所有到期期限。请看下面为典型的婴儿潮一代夫妇构建的RRSP阶梯投资组合，该投资组合在第五章中已提到。假设他们正处于五十岁出头，空巢老人，子女已经偿还了他们的大学费用，他们的注册退休储蓄计划（RRSP）合计为283,349.50美元。
This is the most recent update for the zero coupon ladder created for the boomer couple who had a starting amount of $283,349.50. Please refer back to the Zero Coupon chapter for the annual progression.
这是为这对初始资金为283,349.50美元的婴儿潮夫妇建立的零息债券阶梯策略的最新更新。请回到零息债券章节查看年度进展情况。
| Issuer | Coupon | Maturity | Quantity | Price | YTM | Ann. Equiv. | Total Value |
|---|---|---|---|---|---|---|---|
| Quebec | 0 | Dec. 1/11 | $35,000.00 | $98.50 | 1.521% | 1.527% | $34,475.00 |
| B.C. | 0 | Dec. 18/12 | $35,000.00 | $96.07 | 1.971% | 1.980% | $33,624.50 |
| Ontario | 0 | Dec. 2/13 | $35,000.00 | $93.02 | 2.426% | 2.441% | $32,557.00 |
| Ontario | 0 | Dec. 2/14 | $35,000.00 | $89.85 | 2.694% | 2.712% | $31,447.50 |
| Ont. Hydro | 0 | Nov. 26/15 | $35,000.00 | $86.09 | 3.028% | 3.051% | $30,131.50 |
| Manitoba | 0 | Sept. 5/16 | $54,816.00 | $82.86 | 3.292% | 3.319% | $45,420.54 |
| B.C. | 0 | Dec. 18/17 | $54,390.05 | $77.11 | 3.724% | 3.759% | $41,940.17 |
| Ontario | 0 | Dec. 2/18 | $58,333.00 | $73.29 | 3.922% | 3.961% | $42,752.26 |
| B.C. | 0 | Dec. 18/19 | $54,988.00 | $69.00 | 4.145% | 4.180% | $37,941.72 |
| Ontario | 0 | Dec. 2/20 | $53,558.00 | $65.35 | 4.300% | 4.346% | $35,000.15 |
| $451,085.05 | 3.102% | 3.128% | $365,290.33 | ||||
Note that the future value has grown to $451,085 from the initial value of $350,000 while the total portfolio value is $365,290 versus the initial value of $283,349.50. This illustrates the compounding nature of zero coupon bonds. Also note that I did not allow for any annual contributions from the couple; this of course would have added significantly to the total values if they had contributed the maximum allowable.
请注意，未来价值已经从初始的350,000美元增长到451,085美元，而整个投资组合的总价值从283,349.50美元增长到365,290美元。这说明了零息债券的复利特性。还要注意，我没有考虑夫妻每年的额外投资；如果他们按照允许的最高金额进行贡献，总价值将会显著增加。
You will note how the face value keeps increasing as the maturing face value is reinvested in a new ten-year strip without new contributions.
你会看到，随着到期面值不断再投资于新的十年期分离债券，面值也在不断增加。
The total value will vary, of course, depending on market yields. In this case, I have used current market yields.
总价值当然会因市场收益率而有所变化。在这个例子中，我采用了当前的市场收益率。
SUMMARY
总结
The laddered approach is a tried-and-true approach to fixed-income investing and is in your best interest. It is simple, easy to implement, and leads to above-average results. Better yet, it is a strategy that you can implement yourself.
阶梯策略是一种经过反复验证的固定收益投资方法，符合你的最大利益。它简单、易于执行，而且能够获得高于平均水平的回报。更重要的是，这是一种你可以自己亲自实践的策略。
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