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Yuyu · 2023年01月08日

本题为什么一定要假设duration neutral?

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002901

问题如下：

Select the most appropriate credit portfolio positioning strategy to capitalize on an expected steepening of the investment-grade credit spread curve.

选项：

A.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using contracts of equal notional value.

B.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

C.

Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

解释：

C is correct. The investor benefits from a short risk (as protection buyer) on the 10-year CDX IG index and long risk (as protection seller) on the 5-year CDX IG index, duration matching the notional value by increasing 5-year notional 1.82 times (=8.9/4.9) versus the 10-year.

如题，做题时何时需要考虑duration neutral,何时又不需要呢？

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已采纳答案

pzqa015 · 2023年01月08日

嗨，努力学习的PZer你好：


一般情况下，yield curve strategy和credit curve strategy都是duration neutral 策略，原因有两个：

一是基金经理有了对外来的预期后，可能没有额外的资金去买债，也不能空仓，所以，只能调整现有的仓位来实现对预期的获利。

二是duration neutral是一个相对保守的做法，一旦判断反了，long only和short only都要承担更多的损失。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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