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大张伟 · 2022年12月19日

本题不能直接看谁的的duration大么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000105

问题如下：

An economic slowdown is expected to result in a 25 bp decline in Australian yield levels. Which portfolio alternative will experience the largest gain under this scenario?

选项：

A.

Bullet portfolio

B.

Barbell portfolio

C.

Equally weighted portfolio

解释：

B is correct. The portfolio value change due to lower Australian government

rate levels may be calculated using Equation 3:
%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],
where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the barbell portfolio rises by 1.276%,

or (-5.049 × -0.0025) + [0.5 × 45.05 × (-0.00252)],

followed by the equally weighted portfolio at 1.207%, or

(-4.779 × -0.0025) + [0.5 × 37.4 × (-0.00252)],

and the bullet portfolio at 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 × (-0.00252)].

本题不能直接看谁的的duration大么？duration大的，yield的下降带来的price变动就越大

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2 个答案

pzqa015 · 2022年12月24日

嗨，从没放弃的小努力你好：


是的

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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！

pzqa015 · 2022年12月19日

嗨，爱思考的PZer你好：


不可以。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ202112010200000105问题如下 economic slowwn is expecteto result in a 25 cline inAustraliyiellevels. Whiportfolio alternative will experienthelargest gain unr this scenario? A.Bullet portfolioB.Barbell portfolioC.Equally weighteportfolio B is correct. Theportfolio value change e to lower Australigovernmentrate levels mbecalculateusing Equation 3:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the barbell portfolio rises 1.276%, or (-5.049 × -0.0025) + [0.5× 45.05 × (-0.00252)], followethe equallyweighteportfolio 1.207%, or (-4.779 × -0.0025) +[0.5 × 37.4 × (-0.00252)], anthe bulletportfolio 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 ×(-0.00252)]. 如题，如果平行移动都不能只用ration判断，那么ration再什么情况下才有意义？

2023-11-21 15:07 1 · 回答

NO.PZ202112010200000105问题如下 economic slowwn is expecteto result in a 25 cline inAustraliyiellevels. Whiportfolio alternative will experienthelargest gain unr this scenario? A.Bullet portfolioB.Barbell portfolioC.Equally weighteportfolio B is correct. Theportfolio value change e to lower Australigovernmentrate levels mbecalculateusing Equation 3:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the barbell portfolio rises 1.276%, or (-5.049 × -0.0025) + [0.5× 45.05 × (-0.00252)], followethe equallyweighteportfolio 1.207%, or (-4.779 × -0.0025) +[0.5 × 37.4 × (-0.00252)], anthe bulletportfolio 1.067%, or (-4.241 × -0.0025) + [0.5 × 22.1 ×(-0.00252)]. 如题头，是不是本题根本不用计算？

2022-07-13 17:08 1 · 回答