用債券ETF模擬債券梯 - ETF
By Ophelia
at 2023-02-18T23:51
at 2023-02-18T23:51
Table of Contents
Blog post:
https://daze68.blogspot.com/2023/02/etf-heuristic-way-to-mimic-bond-ladder.html
===
對於想要確保固定現金流的人,債券梯是個不錯的工具
然而,債券梯也有一些缺點
有沒有辦法透過債券ETF的組合來模擬債券梯的效果呢?
或許可以考慮一個雖不完美但還算直覺的作法
===
舉例來說,在2009年12月31日,1年期~10年期的美國零息公債,利率分別是:
1 Yr 2 Yr 3 Yr 4Yr 5 Yr 6 Yr 7 Yr 8Yr 9Yr 10 Yr
0.50% 1.10% 1.69% 2.22% 2.68% 3.07% 3.41% 3.71% 3.97% 4.20%
如果用10支零息公債組成一個每年底給付10000美元的10年債券梯,需要84551元。
===
如果我們把84551元用來買入 50% IEF、25% IEI、25% BIL
在各年度年底賣掉10000美元的最長年期ETF,取得10000美元給付
效果如下表:
IEF IEI BIL Sum
2009/12/31 42275 21138 21138 84551
2010/12/31 46236 -10000 22474 21130 79840
2011/12/31 41903 -10000 24339 21122 77364
2012/12/31 33071 -10000 24789 21113 68973
2013/12/31 21666 -10000 24333 21094 57093
2014/12/31 12724 -10000 25104 21079 48907
2015/12/31 2765 -2765 25516 -7235 21052 39333
2016/12/31 18504 -10000 21075 29579
2017/12/31 8607 -8607 21220 -1393 19827
2018/12/31 20172 -10000 10172
2019/12/31 10378 -10000 378
十年過後,ETF組合比起債券梯只多出了約莫300美元
兩者的效果當然不能說是一模一樣
但好像也還算可接受
這個配方的主要著眼點是希望組成跟執行還算直覺
因此並沒有選擇某些更複雜的操作
===
也可以按年度比較債券梯的現值與ETF組合的價值:
Sum PV of Ladder Diff
2009/12/31 84551 84551 0
2010/12/31 79840 80173 -333
2011/12/31 77364 76279 1085
2012/12/31 68973 67755 1218
2013/12/31 57093 57120 -27
2014/12/31 48907 48234 673
2015/12/31 39333 38678 655
2016/12/31 29579 29221 358
2017/12/31 19827 19453 374
2018/12/31 10172 9752 420
2019/12/31 378 0 378
===
註:
零息公債利率的資料來源為St. Louis FED
https://fred.stlouisfed.org/release/tables?rid=354&eid=212994
ETF報酬率的資料來源為 Portfoliovisualizer
--
So stand by your glasses steady,
Here’s good luck to the man in the sky,
Here’s a toast to the dead already,
Three cheers for the next man to die.
--
Tags:
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