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Kathy苏苏 · 2022年08月19日

C

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.请讲下C选项,特别是with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do)部分没明白,谢谢您。2.flight to quality对应的是经济变差情况吧?flight to quality具体内容在讲义第几页?3.flight to quality的情况下benchmark yield curve和credit spread curve的形状是什么样的?谢谢老师。

1 个答案

pzqa015 · 2022年08月19日

嗨,努力学习的PZer你好:


这道题问的是什么时候HYB相对于IG的价值下降,那么有两个结论要记住:经济表现好时,HYB相对IG的价值上升,经济表现差时,HYB相对于IG的价值下降,所以,这道题的问题就变成了什么时候经济会变差。


C选项:收益率曲线bull flatten,长期利率较短期利率下降更多,意味着当前经济状况变差,且市场预期长期经济也不会有好转,同时,根据前半部分的flight to quality(投资方向为安全资产)也暗示经济变差,所以,C选项正确。


flight to quality的情况下benchmark yield curve变平(长期比短期下降更多),credit spread curve也变平,短期比长期上涨更多。

A选项:收益率波动率曲线变陡,收益率波动率曲线与收益率曲线是两回事,收益率波动率曲线变陡,意味着短期波动率下降,也就是短期风险下降,是经济变好的迹象;收益率曲线变陡,意味着短期利率下降,是经济变差的迹象。所以,A选项说收益率波动率曲线变陡,意味着经济表现好而不是表现差,A选项不选。

B选项:不可能出现经济slow down,slowdown是经济周期中peak阶段的前一阶段,此时,经济表现是好的,所以,B选项也不选。

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