Difference from equities:

• Bond has maturities and durations. It is not a permanent investments
• Bond has a fixed return. The return is defined if we hold it to maturity
• Bond market is less liquid comparing with stocks
• Bond performance (or price) is sensitive to market yield (also risk free rate)
• Bond pricing is more homogeneous. The bond with same maturity and similar credit profiles should be priced at the same price

What is a carry?

Carry is the PNL resulting from the income and costs of running a position over a certain horizon, regardless of the mark-to-market.

If we borrow $1 million at 3% (funding cost) and invest it in a 3-year bond that yields 4% (YTM). After 1 year (investment horizon), we have earned a “carry” of $10,000.

1,000,000 × (4% – 3%) × (360 ÷ 360) = 10,000

Of course, when the investment horizon is a quarter, (360 ÷ 360) is replaced by (90 ÷ 360) in the above equation.

债券投资是怎么赚钱的

• 票息收入
  • 票息，就是债券发行人或融资方给付持有人的利息，按日来计息，持有人持一天债券就拿一天利息，一般来说票息是发行时通过投标确定下来的，所以对某只债券存续期间而言，每天的票息是既定的。
• 资本利得
  • 市场波动引起的买卖净价之间的差额（价差收入）
  • 可以拆解成alpha和beta
    • Alpha：个券本身流动性，信用资质的变化
    • Beta：利率风险，市场利率变化引起的债券价格变动
  • 债券投资更关注市场利率的变动及其分析，因而关于经济基本面、货币政策、资金面的宏观研究显得更重要。
• 杠杆
  • 通过债券质押回购，获得资金，再次购买债券，获得息差收入。