2024年11月28日
本文使用集群分析及迴歸技術，反映主動管理及由下而上的基本因素研究，對於有效應對多個層面的新興市場債券領域有何重要。
主要觀點包括：
新興市場債券的特殊性：不同新興市場國家的當地貨幣及硬貨幣主權債券市場回報存在顯著差異。哪些因素造成這些差異？投資者可能預期來自相同地區或擁有類似信貸評級的債券將會同步移動：方向相同或幅度相若。雖然有時確實如此，但基於多種特殊性，情況通常並非如此。
集群分析：這項分析旨在顯示不同國家主權債券回報之間的關係，而單純觀察地區或評級差異，未必能夠即時發現這些關係。
當地貨幣債券領域方面，儘管拉丁美洲國家整體上是一個集群，但智利較接近巴西，與秘魯的距離較遠。與此同時，墨西哥與其他拉丁美洲國家相比，回報模式截然不同。
在硬貨幣領域，差異程度似乎較少。綜合當地貨幣及硬貨幣新興市場主權債券集群分析，顯示一個國家的當地貨幣主權債券回報未必與其硬貨幣主權債券回報同步變動。
迴歸分析：本文指出影響當地貨幣及硬貨幣主權債券回報的重要因素。分析顯示，推動回報的因素不僅在當地貨幣與硬貨幣債券之間存在差異，在不同國家之間亦存在顯著差異，反映量身定制研究及分析的重要性。
Jeremy J.W. Cunningham is an investment director at Capital Group. He has 37 years of industry experience and has been with Capital Group for eight years. Prior to joining Capital, Jeremy worked as head of EMEA fixed income business development at Alliance Bernstein. Before that he was head of product management at Schroders. Earlier in his career he was a fixed income portfolio manager at INVESCO, J.P. Morgan Fleming and Merrill Lynch. He holds the Chartered Financial Analyst® designation. Jeremy is based in London.
Raza Jaffrey is a risk and quantitative solutions manager at Capital Group. He has 17 years of investment industry experience and has been with Capital Group for eight years. Prior to joining Capital, Raza worked as a risk manager at Investec Asset Management. Before that, he was a quantitative risk manager at FFTW. He holds a PhD in economics, and a master’s degree in financial economics, from Brunel University London. He also holds a bachelor’s degree in computer science from the University of Warwick. Raza is based in London.
訂閱以定期接收當地投資者和經濟師的見解
