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moon · 2022年05月08日

A和C

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000033

问题如下：

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项：

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释：

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

老师，（1）C怎么理解？


（2）A答案，如果短期波动大，长期小，那么future来看，high yield bond表现没有IG好啊？

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5 个答案

lynn_品职助教 · 2022年11月28日

嗨，努力学习的PZer你好：


我这个回答是回复6月22日W同学的追问，他问的概念是 benchmark yield curve。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

lynn_品职助教 · 2022年06月23日

嗨，爱思考的PZer你好：


在经济衰退期，yield curve变陡峭，因为央行会降息，降息对短期利率的影响更大，导致yield curve steepen。这个知识点在economics的business cycle部分。

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努力的时光都是限量版，加油！

raojingzi1001 · 2022年11月26日

这是yield volatility curve啊 和CME里不同吧

lynn_品职助教 · 2022年05月16日

嗨，从没放弃的小努力你好：


同学，我们这里要对长期和未来进行区分

 

收益率曲线（包括本题说的收益率波动率曲线）的期限结构，都是表述站在某个时点看，不同投资期的收益率或者波动率，比如，现在1年期利率是1%，5年期利率是5%，意思是现在投资1年期债券的收益率是1%，投资5年期债券的收益率是5%，这是长期和短期的含义。

 

未来是指未来某个时刻的收益率曲线，比如t=1时刻，会有一条收益率曲线，它衡量的是1年后，各期限投资的收益。

 

曲线受到冲击后的变化我们可以类比甩绳子来理解：手握一根绳子，甩动一下，那么距离手越近的地方，波浪越大，距离手越远的地方，波浪越小，如果绳子足够长，那么远端可能不会动。但是我们还是在当前、现下这个时刻做的甩绳子这个动作。

 

future value并不能根据现在曲线上的长期波动变化进行判断，而应该根据未来的波动率曲线上的波动变化进行判断。现在短期波动小，长期波动大，说明现在短期风险小于长期，说明经济和市场环境在变好。未来的情况我们是无法真正从曲线了解到的，我们先判断经济向好，再由此判断未来一段时间内，这种趋势会持续。

 

老师，题目问future（长期）为什么会多投资IG，说明长期经济变差 IG才表现好 答案A说volatility曲线更steep，不也是代表长期volatility上升了吗？所以长期经济可能更差，应该多投IG，A答案逻辑正确啊

 

同学的逻辑直到下划线的部分都是对的，接着短期风险小于长期，说明经济和市场环境在变好，不是直接判断未来情形。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

moon · 2022年05月14日

老师，题目问future（长期）为什么会多投资IG，说明长期经济变差 IG才表现好 答案A说volatility曲线更steep，不也是代表长期volatility上升了吗？所以长期经济可能更差，应该多投IG，A答案逻辑正确啊

lynn_品职助教 · 2022年05月10日

嗨，努力学习的PZer你好：


1、 A选项steepen of benchmark yield volatility curve收益率波动率曲线变陡峭，它代表短期风险在变小，也就是经济正在变好，所以HYB比IG更好。如果是steepen of benchmark yield curve，代表收益率曲线变陡峭，即短期利率相对于长期在下降，此时是经济陷入衰退，那么IG比HYB更好。

2、 C选项flight to quality表明预期一段时间内经济将持续变差，市场投资者都追求安全资产（一般是中长期美国国债），都买中长期国债，使得国债价格攀升，中长期收益率下降，甚至超过利率的下降，所以收益率曲线是bullish flatten。

bull flatten：表现形式：长短期利率都下降，长期下降幅度更大。出现背景：投资者flight to quality，集中配置安全资产，一般中长期美国国债是全球最安全的资产，所以，中长期美国国债被哄抢，提高了价格，降低了利率，收益率曲线向下且变平。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

wawaxuanzi · 2022年06月22日

如果是steepen of benchmark yield curve，代表收益率曲线变陡峭，即短期利率相对于长期在下降，为什么是经济陷入衰退的表现？

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