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Yuyu · 2022年07月13日

这个是不是用涨多跌少思路

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000105

问题如下：

An economic slowdown is expected to result in a 25 bp decline in Australian yield levels. Which portfolio alternative will experience the largest gain under this scenario?

选项：

A.

Bullet portfolio

B.

Barbell portfolio

C.

Equally weighted portfolio

解释：

B is correct. The portfolio value change due to lower Australian government

rate levels may be calculated using Equation 3:
%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],
where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the barbell portfolio rises by 1.276%,

or (-5.049 × -0.0025) + [0.5 × 45.05 × (-0.00252)],

followed by the equally weighted portfolio at 1.207%, or

(-4.779 × -0.0025) + [0.5 × 37.4 × (-0.00252)],

and the bullet portfolio at 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 × (-0.00252)].

如题头，是不是本题根本不用计算？

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1 个答案

pzqa015 · 2022年07月14日

嗨，从没放弃的小努力你好：


不是的，convexity涨多跌少的前提是三个portfolio的duration相等，那么此时convexity大的涨的最多，跌的最少。本题三个portfolio的duration不等，是要具体计算才能得出结论的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202112010200000105问题如下 economic slowwn is expecteto result in a 25 cline inAustraliyiellevels. Whiportfolio alternative will experienthelargest gain unr this scenario? A.Bullet portfolioB.Barbell portfolioC.Equally weighteportfolio B is correct. Theportfolio value change e to lower Australigovernmentrate levels mbecalculateusing Equation 3:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the barbell portfolio rises 1.276%, or (-5.049 × -0.0025) + [0.5× 45.05 × (-0.00252)], followethe equallyweighteportfolio 1.207%, or (-4.779 × -0.0025) +[0.5 × 37.4 × (-0.00252)], anthe bulletportfolio 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 ×(-0.00252)]. 如题，如果平行移动都不能只用ration判断，那么ration再什么情况下才有意义？

2023-11-21 15:07 1 · 回答

NO.PZ202112010200000105 问题如下 economic slowwn is expecteto result in a 25 cline inAustraliyiellevels. Whiportfolio alternative will experienthelargest gain unr this scenario? A.Bullet portfolio B.Barbell portfolio C.Equally weighteportfolio B is correct. Theportfolio value change e to lower Australigovernmentrate levels mbecalculateusing Equation 3:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the barbell portfolio rises 1.276%, or (-5.049 × -0.0025) + [0.5× 45.05 × (-0.00252)], followethe equallyweighteportfolio 1.207%, or (-4.779 × -0.0025) +[0.5 × 37.4 × (-0.00252)], anthe bulletportfolio 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 ×(-0.00252)]. 本题不能直接看谁的的ration大么？ration大的，yiel下降带来的price变动就越大

2022-12-19 14:44 2 · 回答