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Fixed Income 2 2 | Fixed Income Fixed 2 CFA Society Italy CFA Society Italy è l’associazione Italiana dei professionisti che lavorano nell’industria Fixed finanziaria italiana. CFA Society Italy nata nel 1999 come organizzazione no profit, è affiliata a CFA Institute, l’associazione globale di professionisti degli investimenti che definisce gli Income standard di eccellenza per il settore. CFA Society Italy ha attualmente oltre 400 soci attivi, nel mondo i professionisti certificati CFA® sono oltre 150.000. Assegnato per la prima volta nel 1963, CFA® è la designazione di eccellenza professionale per la comunità finanziaria internazionale. Il programma CFA® offre una sfida educativa davvero globale in cui è possibile creare una conoscenza fondamentale dei principi di investimento, rilevante per ogni mercato mondiale. I soci che hanno acquisito la certificazione CFA® incarnano le quattro virtù che sono le caratteristiche distintive di CFA Institute: Etica, Tenacia, Rigore e Analisi. CFA Society Italia offre una gamma di opportunità educative e facilita lo scambio aperto di informazioni e opinioni tra professionisti degli investimenti, grazie ad una serie continua di eventi per i propri membri. I nostri soci hanno la possibilità di entrare in contatto con la comunità finanziaria italiana aumentando il proprio network lavorativo. I membri di CFA Society Italy hanno inoltre la posibilità di partecipare attivamente ad iniziative dell’associazione, che Guida a cura di Con la collaborazione di consentono di fare leva sulle proprie esperienze lavorative. L’iscrizione e il completamento degli esami del programma CFA®, anche se fortemente raccomandati, non sono un requisito per l’adesione e incoraggiamo attivamente i professionisti italiani del settore finanziario a unirsi alla nostra associazione. Autori Autori Giancarlo Pavia - Director, DCM - Crédit Agricole CIB Giancarlo ha maturato un’ampia esperienza sul mercato dei capitali e nell’investment banking. Ha gestito, come membro senior del team DCM di una primaria banca di investimento internazionale, le emissioni obbligazionarie, in vari formati, di tutti i maggiori emittenti italiani appartenenti a vari settori industriali e per il Tesoro. Ha Denis Manzi, CFA - Asset Manager - Banca di San Marino SpA inoltre contribuito al debutto sul mercato dei capitali di numerose aziende midcap. Denis inizia la sua attività professionale presso Banca di San Marino SpA dove lavora In precedenza Giancarlo si è occupato di M&A e Private Equity, dopo aver iniziato la tuttora ricoprendo il ruolo di responsabile per le Gestioni Patrimoniali e del Dipartimento carriera nella consulenza direzionale. Appassionato da sempre di value investing, Innovazione Finanziaria. Dal 2015 è membro del consiglio di amministrazione della Giancarlo ha studiato economia, finanza e management in Italia e negli Stati Uniti. SICAV di diritto Lussemburghese Fagus Multimanager, con delega alla gestione di portafoglio del comparto International Bond. Denis, dopo avere conseguito la laurea in Emanuele Gerletti, CFA - Portfolio Manager - Swan Asset Management SA informatica presso l’Università di Bologna, ha ottenuto la certificazione EFA promossa Emanuele Gerletti ricopre la funzione di Portfolio Manager presso Swan Asset da EFPA Italia ed è CFA charterholder dal 2013. Denis collabora attivamente con CFA Management SA, società specializzata nella gestione di fondi di credito con sede a Lugano. Society Italy. Ha conseguito una Laurea Triennale ed una Laurea Specialistica in Economia delle Istituzione e dei Mercati finanziari presso l’Università Bocconi di Milano. Dopo due brevi Giuliano Palumbo, MSc, CFA - Portfolio Manager & Strategist - Euromobiliare SGR esperienze di internship presso Société Générale e Credit Suisse, continua la sua carriera Giuliano inizia la sua attività professionale presso l’ufficio studi di Pioneer Investments a Swan AM, dove si specializza nella gestione di fondi di credito, attivi prevalentemente come analista quantitativo. Successivamente ha lavorato presso Arca SGR, inizialmente nel mercato HY sia core che emergente. Emanuele è CFA Charterholder da aprile 2016. come analista e gestore sul credito, poi come responsabile dei prodotti dedicati Emerging Markets. Attualmente è senior portfolio manager & strategist in Euromobiliare Francesco Spadaccia, CFA - Fixed Income Portfolio Manager - Credit Suisse SGR e si occupa della gamma prodotti total return. Giuliano, dopo aver conseguito la Francesco ha iniziato la sua attività professionale in UniCredit nel team di DCM Italia per laurea in Economia all’Università di Napoli “Federico II”, ha poi ottenuto un Master in poi spostarsi in Credit Suisse AM, dove lavora tuttora, ricoprendo il ruolo di fixed income Finance alla London School of Economics ed è CFA charterholder dal 2009. Ha sempre portfolio manager per la clientela istituzionale. È membro del Comitato di Investimento locale collaborato come volunteer presso CFA Society Italy e dal 2016 è membro del board e con responsabilità sulla componente corporate bond e dal luglio 2012 è gestore del fondo Treasurer dell’Associazione. Credit Suisse Lux Portfolio Fund - Reddito EUR. Francesco ha conseguito la laurea triennale in finanza presso l’Università Commerciale Luigi Bocconi ed ha concluso con successo i corsi Davide Montaldo - Fund Selector - Banca del Piemonte SpA del Master of Science in Finance nel marzo 2008 presso la medesima università. Da Gennaio 2017 è responsabile della Fund Selection per i vari segmenti di clientela di Banca del Piemonte (Gestioni, Consulenza). Da Novembre 2013 è membro del Team Federico Reggianini, CFA - Resp. Servizio Prodotti e Investimenti - Banca di Bologna di Consulenza della Banca, dove svolge il ruolo di Fund Selector con focus particolare Nato a Bologna, ottiene la laurea magistrale in Economia Aziendale nel 2005. Inizia la sulla analisi qualitativa, gestisce le buy list ed i portafogli modello in OICR. In precedenza sua attività in Banca di Bologna presso il Servizio Gestioni Patrimoniali. Dopo un breve ha lavorato presso l’Ufficio Gestioni Patrimoniali di Banca del Piemonte. Ha iniziato la periodo in Intesa Sanpaolo a New York all’interno dell’Italian Desk prosegue la sua propria carriera in Sanpaolo Imi Asset Management (ora Eurizon) con ruoli nel campo carriera in Banca di Bologna. Attualmente Federico è responsabile del Servizio Prodotti administration dei fondi comuni. Ha conseguito la Laurea in Economia Politica presso e Investimenti che ha il compito di proporre, implementare e mantenere tutti prodotti l’Università degli Studi di Torino ed ha completato il Fundamentals of Alternative offerti dalla Banca, sia interni che di terzi. CFA Charterholder dal 2015, è attivo come Investments Certificate Program (2017, CAIA Association). volontario in diverse iniziative di CFA Society Italy. Fixed Income Guida a cura di Con la collaborazione di Fixed Income / Sommario CAPITOLO 1 LE PRINCIPALI CARATTERISTICHE DEI TITOLI A REDDITO FISSO (FIXED INCOME) 4 di Denis Manzi, CFA Le 5 variabili da monitorare a cura di 16 CAPITOLO 2 I PRINCIPALI RISCHI DEI TITOLI A REDDITO FISSO (FIXED INCOME) 18 di Denis Manzi, CFA CAPITOLO 3 UNA PANORAMICA SULLE DIVERSE TIPOLOGIE DI TITOLI A REDDITO FISSO (FIXED INCOME) 30 di Giancarlo Pavia, CFA CAPITOLO 4 IL MERCATO DEI TITOLI A REDDITO FISSO (FIXED INCOME): un’introduzione ed alcune peculiarità 46 di Emanuele Gerletti, CFA CAPITOLO 5 LA CURVA DEI TASSI DI INTERESSE E LE VARIE TIPOLOGIE DI SPREAD 64 di Francesco Spadaccia, CFA 2 | FIXED INCOME GRAPHIC DESIGNER: Allegato ad AP ADVISOR PRIVATE n. 11 Luca Baraggia maggio-giugno 2018 (registrato presso il INFOGRAFICHE: Tribunale di Milano n. 302 del 23/10/2015) Salvatore Tomaselli REALIZZAZIONE: PROPRIETARIO ED EDITORE: a cura della redazione ADVISOR Open Financial Communication Srl DIRETTORE RESPONSABILE: Via Francesco Sforza, 14 - 20122 Milano Francesco D’Arco NON VENDIBILE 2 Fixed Income / Sommario Uno sguardo al futuro obbligazionario a cura di 74 CAPITOLO 6 INTRODUZIONE ALLA VALUTAZIONE DEI TITOLI A REDDITO FISSO (FIXED INCOME) 76 di Francesco Spadaccia, CFA CAPITOLO 7 LE DIVERSE MODALITÀ DI INVESTIRE NEL REDDITO FISSO 106 di Federico Reggianini, CFA CAPITOLO 8 INTRODUZIONE SULLA GESTIONE DI PORTAFOGLI A REDDITO FISSO ATTIVI E PASSIVI 126 di Federico Reggianini, CFA CAPITOLO 9 Il fenomeno dei prodotti “unconstrained” 146 di Davide Montaldo CAPITOLO 10 Il fenomeno dei prodotti “a cedola” 188 di Davide Montaldo CAPITOLO 11 LE OBBLIGAZIONI DEI MERCATI EMERGENTI 196 di Giuliano Palumbo, CFA 3 Fixed Income / Introduzione Introduzione di Denis Manzi, CFA Per la maggior parte degli investitori, sia- ● Ottenere flussi di cassa costanti e no essi istituzionali o retail, l’investimen- stabili to in strumenti finanziari a reddito fisso ● Avere una riserva di liquidità per fare riveste un ruolo vitale nella costruzione fronte a fuoriuscite di cassa del portafoglio. Una delle prime scelte ● Ottenere una diminuzione del rischio che colui che si approccia all’investi- complessivo di portafoglio grazie alla mento deve affrontare nel processo di teorica bassa correlazione rispetto allocazione delle proprie disponibilità ad altre forme di investimento, come finanziarie è quanto destinare a inve- ad esempio l’azionario stimenti di tipo azionario, con obiettivo Non di minore importanza è il ruolo quello di accrescere il capitale, e quanto centrale giocato dai tassi di interesse ad investimenti di tipo obbligazionario, nel determinare il prezzo di mercato di con obiettivo primario quello di preser- praticamente tutte le
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