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Arnie · 2022年11月01日

buy and hold 还有rolldown return？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000801

问题如下：

The rolldown returns over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项：

A.

1.00% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

B.

0.991% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

C.

0.991% for the Buy-and-Hold portfolio and 2.09% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct.

Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.

  • Buy and Hold: 1.00% = (100.00 - 99.009)/99.009
  • Yield Curve Rolldown: 3.01% = (99.009 - 96.1169)/96.1169

表格中buy and hold 直接持有至到期刚好一年ytm=1%， 为啥题目让计算buy and hold 的rolldown return 没明白

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2 个答案

pzqa015 · 2022年11月02日

嗨，努力学习的PZer你好：


这道题的表述不是很准确，应该让计算的是两个return，而不是rolldown return。rolldown return是指收益率曲线不变，期初期末用不同折现率折现带来的price return。

而题目的两个价格100.00和 99.009仅仅是随着时间的变化，债券价格趋向于面值，它是会计记账成本的变化，并不是rolldown return。

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pzqa015 · 2022年11月01日

嗨，爱思考的PZer你好：


能把表格截图传一下吗？这里看不到表格

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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