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双 · 2023年04月30日

spot rate rise as predicted by forward rate

NO.PZ2023040701000009

问题如下:

Today I want to go over techniques we use at Cuyahoga to add alpha to our active fixed income strategies. Many of our portfolio managers like to use a portfolio management strategy called riding the yield curve. This strategy can enhance total return in two ways. First, it increases the yield of the portfolio by buying bonds with maturities longer than their investment horizon whenever the yield curve is upward sloping, is expected to maintain the same level and shape and spot rates rise as predicted by forward rates. Second, even if interest rates increase unexpectedly, since the bonds roll down the yield curve, the bonds will appreciate in price.

Is Akron most likely correct with regard to how portfolio managers can profit from riding the yield curve?

选项:

A.

No, he is incorrect regarding the impact of interest rate changes.

B.

No, he is incorrect with respect to bond maturities.

C.

Yes.

解释:

Correct Answer: A

A is correct since Akron is incorrect in stating that the strategy will increase total return even if rates rise unexpectedly. If rates rise by more than predicted by forward rates, then the bond will lose value as it is priced using higher rates.

F(2.1)>SPOT rate(1.1),2年后,SPOTrate还是原来的SPOT rate,那就说明比forward rate下降了,为什么这里说rise as predicted,但何老师说这句话是对的?

1 个答案

pzqa015 · 2023年05月01日

嗨,努力学习的PZer你好:


 is expected to maintain the same level and shape and spot rates rise as predicted by forward rates

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(1+s1)(1+f(1,1)=(1+s2)^2

这里的意思是s2>s1,

这句话的意思是预期未来的收益率曲线与现在一样,长期spot rate大于短期spot rate,收益率曲线stable是riding the yield curve的前提条件。

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