NO.PZ202112010200000803
问题如下：
A US-based fixed-income portfolio manager is examining unhedged investments in Thai baht (THB) zero-coupon government bonds issued in Thailand and is considering two investment strategies:
THB proceeds under each strategy will be converted into USD at the end of the 1-year
investment horizon. The manager expects a stable THB yield curve and that THB will
appreciate by 1.5% relative to USD.
The following information is used to analyze
these two investment strategies:
Which of the following statements best describes how the expected total return results would change if THB yields were to rise significantly over the investment horizon?
选项：
A.Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns
would increase due to higher THB yields.
Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns would decrease due to higher THB yields.
The Buy-and-Hold expected portfolio returns would be unchanged and the Yield Curve Rolldown expected portfolio returns would decrease due to the rise in yields.
解释：
C is correct.
In a higher THB yield
scenario in one year, the Yield Curve Rolldown
expected return would fall since a higher THB yield-to-maturity in
one year would reduce
the price at which the investor could sell the 1-year zero in one year.
The Buy-and-Hold portfolio return will be unaffected since the 1-year bond matures at the end of the investment horizon.
这题的重点是不是buy and hold没有price risk以及zero-coupn没有reinvestment risk。否则yield curve改变，确实不会影响到buy and hold策略，也就不会有price risk。但如果用的是coupon-bearing，则yield curve下降时，存在reinvestment risk（yield curve上升时，reinvestment变高，不存在risk）。那么还要考虑Macaulay duration，如果投资期大于MacD，reinvestment risk越大。
