NO.PZ202112010200000702
问题如下:
Which of the following statements best characterizes how the active portfolio is positioned for yield curve changes relative to the index portfolio?
选项:
A.The active portfolio is
positioned to benefit from a bear steepening of the yield curve versus the
benchmark portfolio.
The active portfolio is positioned to benefit from a positive butterfly movement in the shape of the yield curve versus the index.
The active portfolio is positioned to benefit from yield curve flattening versus the index.
解释:
B is correct. A positive butterfly indicates a decrease in the butterfly spread due to an expected rise in short- and long-term yields-to-maturity combined with a lower medium-term yield-to-maturity.
Since the active portfolio is short duration versus the index in the 2-year, 5-year, and 30-year maturities and long duration in the 10-year, it will generate excess return if the butterfly spread falls.
A选项说的是收益率曲线steepen,可以看成短期利率相对长期利率是下降的,那么只有短期KRD:active >benchmark;长期KRD:active<benchmark时,才会outperform,所以A不正确。
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A选项说的是
bear steepening,也就是短期利率和长期利率都是上升的,只不过长期利率上升的更加快,
那么长期而言,KRD active需要小于benchmark,
短期而言,也应该KRD active小于benchmark,不是吗?
请老师详细解释一下