银河证券基金研究中心 宋楠
近期银华等权重90分级触发不定期折算,引发了市场对于分级基金的又一轮热议和追捧。股票分级由其各具特色的条款而带来了诱人的投资空间,而其实债券分级基金也具备一定投资机会。由于债券分级基金产品设计更加简单明了,且固定收益品种本身收益相对更稳定的特征,使得债券分级的投资确定性更高。本文将从两个投资逻辑简析目前部分债券分级基金所蕴含的投资机会。
一、持有到期策略
从分级基金类型和条款设计上看,债券型分级基金远比股票型分级设计更加简单。目前市场中共有22只分级债基(按主代码统计),其中21只已上市交易。按照产品运作方式来分类,分级债基大致可分成三类。早期成立的几只分级债属于第一类,其母基金、A\B份额在分级期内均封闭,A/B同时上市交易;第二类为半开放式分级债基,即B封闭、A定期开放,仅B上市,这类占据了现在分级债基的主导;第三类为类似现在大多股票分级的模式,即永续存在,没有固定的运作期限,运作期内A/B同时上市,母基金可以申赎,有配对转换机制,这类债基目前只有三只。除此之外,按照A的约定收益是否调整、是否有折算条款等,即使是同一类基金中,各只分级份额二级市场价格表现也可能大相径庭。
由于当前绝大部分分级债基均均有固定到期期限,理论上临近到期日时,套利交易会使得上市基金份额的价格向净值靠拢。因此对于具有固定期限的分级债基上市份额,我们就有了持有到期策略。持有到期策略主要是假设以一定二级市场价格(通常假设是当前价格)购入基金份额,持有到期时按净值卖出/赎回,其间的收益率若能为投资者所接受,则该策略成立。因此,该策略方法的关键在于对到期时基金净值的预测。而债券型基金由于价格波动较小,其收益率往往较大概率会落在一个相对固定的区间内。若按照该区间值计算出的持有期收益率可接受,则该基金可以采用持有到期策略进行投资,且确定性较高。
我们选择富国汇利和大成景丰测算其持有到期收益率。选择这两只基金因为其A/B份额均封闭式运作、封闭期内A约定收益不变且无定期折算。这样的产品设计使得A份额到期净值明确,而B的到期净值也仅受母基金的净值这一个变量的影响,预测准确性较高。
根据2004至2011年开放式债券型基金净值增长率,我们假设富国汇利和大成景丰至到期日前母基金的年净值增长率区间为【-3%,11%】。我们以9月5日为定价日,以定价当日两只基金母基金净值为基础、按照到期日前-3%-11%的净值增长率可计算出子基金到期时的净值区间(见表2、3)。
对于富国汇利B,若以定价日1.19买入,到期时母基金净值增长率若低于2%,则持有B到期会亏损;若母基金净值增长率在4%以上,则B持有到期可获得6.55%以上的年化收益率。
而对大成景丰B,若以定价日0.773的价格买入,到期时母基金净值增长率若能达到4%以上,则持有B到期可获得11.21%的年化收益率。然而需警惕的是,大成景丰为二级债基,其价格波动可能较富国汇利更大,不确定性也更大。
表1 历年债券型基金平均净值增长率
长期标准债券型基金 | 普通债券型基金(一级) | 普通债券型基金(二级) | |||||||
应统计基金数量(只) | 参与平均值计算基金数量(只) | 净值增长率平均值(%) | 应统计基金数量(只) | 参与平均值计算基金数量(只) | 净值增长率平均值(%) | 应统计基金数量(只) | 参与平均值计算基金数量(只) | 净值增长率平均值(%) | |
2011 | 7 | 5 | 1.22% | 85 | 65 | -2.83% | 96 | 64 | -3.79% |
2010 | 5 | 5 | 3.38% | 67 | 63 | 8.14% | 71 | 53 | 6.36% |
2009 | 5 | 3 | 1.71% | 64 | 35 | 4.73% | 53 | 24 | 5.83% |
2008 | 3 | 3 | 8.42% | 45 | 18 | 8.00% | 33 | 4 | -0.13% |
2007 | 4 | 3 | 16.62% | 18 | 11 | 17.78% | 7 | 3 | 35.83% |
2006 | 4 | 3 | 6.90% | 11 | 7 | 15.67% | 3 | 2 | 32.89% |
2005 | 3 | 2 | 8.36% | 8 | 7 | 8.92% | 2 | 2 | 12.19% |
2004 | 2 | 2 | 0.31% | 8 | 5 | -2.53% | 2 | 1 | -5.31% |
表2 富国汇利债券B到期日净值敏感性份额
买入价格 | B到期收益率 | ||||||||||
母基金预期年化收益率 | |||||||||||
0.03 | -3.00% | -1.00% | 0.00% | 1.00% | 2.00% | 3.00% | 4.00% | 5.00% | 7.00% | 9.00% | 11.00% |
0.85 | 18.53% | 27.28% | 31.65% | 36.02% | 40.39% | 44.76% | 49.13% | 53.49% | 62.22% | 70.93% | 79.65% |
0.88 | 14.54% | 22.99% | 27.21% | 31.44% | 35.66% | 39.88% | 44.10% | 48.31% | 56.74% | 65.17% | 73.59% |
0.91 | 10.80% | 18.98% | 23.06% | 27.15% | 31.23% | 35.32% | 39.40% | 43.48% | 51.63% | 59.78% | 67.93% |
0.94 | 7.30% | 15.22% | 19.18% | 23.13% | 27.09% | 31.04% | 35.00% | 38.95% | 46.84% | 54.74% | 62.63% |
0.97 | 4.02% | 11.70% | 15.53% | 19.37% | 23.20% | 27.03% | 30.86% | 34.69% | 42.35% | 50.00% | 57.65% |
1.00 | 0.93% | 8.38% | 12.10% | 15.82% | 19.54% | 23.26% | 26.98% | 30.70% | 38.13% | 45.55% | 52.97% |
1.03 | -1.98% | 5.26% | 8.87% | 12.49% | 16.10% | 19.71% | 23.32% | 26.93% | 34.15% | 41.36% | 48.56% |
1.06 | -4.72% | 2.31% | 5.82% | 9.34% | 12.85% | 16.36% | 19.87% | 23.38% | 30.39% | 37.40% | 44.40% |
1.09 | -7.32% | -0.48% | 2.94% | 6.36% | 9.78% | 13.19% | 16.60% | 20.02% | 26.84% | 33.66% | 40.47% |
1.12 | -9.77% | -3.11% | 0.21% | 3.54% | 6.87% | 10.19% | 13.51% | 16.84% | 23.48% | 30.12% | 36.75% |
1.16 | -12.85% | -6.42% | -3.20% | 0.01% | 3.22% | 6.43% | 9.64% | 12.85% | 19.27% | 25.68% | 32.08% |
1.19 | -15.31% | -9.05% | -5.93% | -2.81% | 0.31% | 3.43% | 6.55% | 9.67% | 15.91% | 22.14% | 28.36% |
1.21 | -16.41% | -10.24% | -7.16% | -4.08% | -1.00% | 2.08% | 5.16% | 8.24% | 14.39% | 20.54% | 26.68% |
1.24 | -18.41% | -12.39% | -9.38% | -6.38% | -3.37% | -0.36% | 2.64% | 5.65% | 11.65% | 17.65% | 23.65% |
表3 大成景丰债券B到期日净值敏感性份额
买入价格 | B到期收益率 | ||||||||||
母基金预期年化收益率 | |||||||||||
6.71% | -3.00% | -1.00% | 0.00% | 1.00% | 2.00% | 3.00% | 4.00% | 5.00% | 7.00% | 9.00% | 11.00% |
0.56 | -0.18% | 11.48% | 17.26% | 23.01% | 28.73% | 34.42% | 40.09% | 45.73% | 56.95% | 68.08% | 79.14% |
0.61 | -7.60% | 3.19% | 8.54% | 13.86% | 19.15% | 24.43% | 29.67% | 34.90% | 45.28% | 55.59% | 65.82% |
0.66 | -13.95% | -3.90% | 1.08% | 6.04% | 10.97% | 15.88% | 20.76% | 25.63% | 35.30% | 44.90% | 54.43% |
0.723 | -20.76% | -11.50% | -6.91% | -2.35% | 2.19% | 6.71% | 11.21% | 15.70% | 24.60% | 33.44% | 42.22% |
0.75 | -23.34% | -14.38% | -9.94% | -5.53% | -1.14% | 3.24% | 7.59% | 11.93% | 20.54% | 29.09% | 37.58% |
0.81 | -28.49% | -20.13% | -15.99% | -11.87% | -7.78% | -3.70% | 0.36% | 4.41% | 12.44% | 20.42% | 28.34% |
0.86 | -32.25% | -24.34% | -20.42% | -16.52% | -12.63% | -8.77% | -4.92% | -1.09% | 6.52% | 14.08% | 21.58% |
0.91 | -35.63% | -28.11% | -24.38% | -20.67% | -16.98% | -13.31% | -9.66% | -6.02% | 1.22% | 8.40% | 15.53% |
0.96 | -38.66% | -31.50% | -27.95% | -24.41% | -20.90% | -17.40% | -13.92% | -10.45% | -3.56% | 3.29% | 10.08% |
1.01 | -41.41% | -34.57% | -31.18% | -27.80% | -24.45% | -21.10% | -17.78% | -14.46% | -7.88% | -1.35% | 5.14% |
1.06 | -43.92% | -37.36% | -34.12% | -30.89% | -27.67% | -24.47% | -21.29% | -18.12% | -11.81% | -5.56% | 0.65% |
1.11 | -46.20% | -39.92% | -36.80% | -33.71% | -30.62% | -27.55% | -24.50% | -21.46% | -15.41% | -9.41% | -3.45% |
1.16 | -48.30% | -42.26% | -39.27% | -36.29% | -33.33% | -30.38% | -27.45% | -24.52% | -18.71% | -12.95% | -7.22% |
二、降息中的短期机会
封闭式分级债B中有三只基金近期二级市场表现突出,折价率迅速收敛,目前甚至大幅溢价交易。这三只基金为诺德双翼B、金鹰持久回报B和信诚双盈B。截止至8月末其分别溢价18.82%、37.13%和1.02%。为目前封闭式分级B中仅有的三只溢价交易的基金。究其原因,这三只基金分别成立于今年2-4月,每半年打开并调整A约定收益。在6、7月的两次降息时,这三只基金均处于封闭期,而其分别在8-10月第一次打开并调整约定收益。在开放期时,这三只基金A约定收益将按照降息后的标准执行,即在下个运作周期,A约定收益均将下降。不利于A,然而利于B。因此临近开放日,这三只基金折价率迅速收敛直至目前的溢价状态。其中诺德双翼B已于8月开放,该基金溢价亦从7月底的40%逐步回落至8月底的18%。鉴于同样逻辑,我们推荐关注富国天盈B和信达澳银稳定增利B。这两只分别将于11月打开申赎,开放期内其同样将下调A的约定收益。我们预计随着这两只基金开放期的临近,其B级份额的折价率也将出现一个快速收敛的过程。
数据来源:中国银河证券基金研究中心
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