NO.PZ202112010200000102
问题如下:
A Sydney-based fixed-income portfolio manager is considering the following Commonwealth of Australia government bonds traded on the ASX (Australian Stock Exchange):
The manager is
considering portfolio strategies based upon various interest rate scenarios
over the next 12 months. She is considering three long-only government
bond portfolio
alternatives, as follows:
The manager estimates that accelerated economic growth in Australia will increase the level of government yields-to-maturity by 50 bps.
Under this scenario, which of the three portfolios experiences the smallest decline in market value?
选项:
A.Bullet
portfolio
Barbell portfolio
Equally weighted portfolio
解释:
A is correct. The change in portfolio value due to a rise in Australian government rate levels may be calculated using Equation:
%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the bullet portfolio declines by 2.093%, or -2.093% = (-4.241 × 0.005) + [0.5 × 22.1 × (0.0052)],
followed by a drop of
2.343% for the equally weighted portfolio, or
-2.343% = (-4.779 ×
0.005) + [0.5 × 37.4 × (0.0052)],
and a drop of 2.468%
for the barbell portfolio, or
-2.468% = (-5.049 × 0.005) + [0.5 × 45.05 × (0.0052)].
followed by a drop of 2.343% for the equally weighted portfolio, or
-2.343% = (-4.779 × 0.005) + [0.5 × 37.4 × (0.0052)],
and a drop of 2.468% for the barbell portfolio, or
-2.468% = (-5.049 × 0.005) + [0.5 × 45.05 × (0.0052)].
老师,这个上诉公式的4.779是怎么算出来的额