NO.PZ2021120102000009
问题如下:
An active investor enters a duration-neutral yield curveflattening trade that combines 2-year and 10-year Treasury positions. Underwhich of the following yield curve scenarios would you expect the investor torealize the greatest portfolio gain?
选项:
A.
Bear flattening
B.
bull flattening
C.
Yield curve inversion
解释:
C is correct. A duration-neutral flattening trade involves a short2-year bond position and a long 10-year bond position, which have a “matched”duration or portfolio duration of zero. This portfolio will realize a gain ifthe slope of the yield curve—that is, the difference between short-term andlong-term yields— declines.
Yield curve inversion is an extreme version offlattening in which the spread between long-term and short-termyields-to-maturity falls below zero.
The bear steepening in A involves an unchanged 2-year yield-to-maturitywith a rise in the 10-year yield-to-maturity, causing a portfolio loss.
The bull flattening in B combines a constant 2-yearyield-to-maturity with lower 10-year rates, resulting in a gain on the 10-yearbond position and an unchanged 2-year bond position.
请问两年期和十年期的债券怎么做duration neutral?