开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

积极向上 · 2023年05月13日

KRD

* 问题详情,请 查看题干

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.

B.

The active portfolio is positioned to benefit from a positive butterfly movement in the shape of the yield curve versus the index.

C.

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。


----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


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

2 个答案
已采纳答案

pzqa015 · 2023年05月15日

嗨,从没放弃的小努力你好:


题目问的意思是,什么情况下,会有表格中的active 与index 两个portfolio,也就是说哪种曲线预期下,当前状态的active 会获利最大。

解题的关键是比较不同期限active 与index的KRD

如果某个期限的active KRD>index KRD,说明预测这个期限的利率是下降的;

如果某个期限的active KRD<index KRD,说明预测这个期限的利率是上涨的。

题目中active KRD<index KRD的期限有:2y,5y,30y;active KRD>index KRD的期限有:10y,

也就意味着,预测长期和短期利率是上涨的,中期利率是下降的,这种曲线形状的变化,就是positive butterfly,所以选择B 。


----------------------------------------------
加油吧,让我们一起遇见更好的自己!

hyi725 · 2023年07月31日

如果某个期限的active KRD>index KRD,说明预测这个期限的利率是下降的; 如果某个期限的active KRD<index KRD,说明预测这个期限的利率是上涨的。 为什么??怎么感觉因果关系倒置了

pzqa015 · 2023年08月01日

嗨,从没放弃的小努力你好:


根据△P/P=-MD*△y,如果预测利率下降,应该增加duration,如果预测利率上涨,应该降低duration。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 2

    回答
  • 1

    关注
  • 522

    浏览
相关问题

NO.PZ202112010200000702 问题如下 A financianalyst in-house assetmanager funhcreatethe following spreaheet of key rate rations tocompare her active position to thof a benchmark inxso she ccompare the rate sensitivities across maturities. Whiof the following statements best characterizes how the activeportfolio is positionefor yielcurve changes relative to the inxportfolio? A.The active portfolio ispositioneto benefit from a besteepening of the yielcurve versus thebenchmark portfolio. B.The active portfolio is positioneto benefit from a positive butterfly movement in the shape of the yielcurve versus the inx. C.The active portfolio is positioneto benefit from yielcurve flattening versus the inx. B is correct. Apositive butterfly incates a crease in the butterfly spreeto expecterise in short- anlong-term yiel-to-maturity combineith a lowermeum-term yielto-maturity. Sinthe active portfolio is shortration versus theinx in the 2-year, 5-year, an30-yematurities anlong ration in the10-year, it will generate excess return if the butterfly sprefalls. 题目中出现的10年bon属于中期还是长期?A和C分别错在哪里呢? C中说的flatten我们是不是需要考虑两种情况的flatten ?

2024-07-09 15:19 1 · 回答

NO.PZ202112010200000702 问题如下 Whiof the following statements best characterizes how the activeportfolio is positionefor yielcurve changes relative to the inxportfolio? A.The active portfolio ispositioneto benefit from a besteepening of the yielcurve versus thebenchmark portfolio. B.The active portfolio is positioneto benefit from a positive butterfly movement in the shape of the yielcurve versus the inx. C.The active portfolio is positioneto benefit from yielcurve flattening versus the inx. B is correct. Apositive butterfly incates a crease in the butterfly spreeto expecterise in short- anlong-term yiel-to-maturity combineith a lowermeum-term yielto-maturity. Sinthe active portfolio is shortration versus theinx in the 2-year, 5-year, an30-yematurities anlong ration in the10-year, it will generate excess return if the butterfly sprefalls. 麻烦老师解答一下

2023-06-30 11:10 1 · 回答

NO.PZ202112010200000702 问题如下 Whiof the following statements best characterizes how the activeportfolio is positionefor yielcurve changes relative to the inxportfolio? A.The active portfolio ispositioneto benefit from a besteepening of the yielcurve versus thebenchmark portfolio. B.The active portfolio is positioneto benefit from a positive butterfly movement in the shape of the yielcurve versus the inx. C.The active portfolio is positioneto benefit from yielcurve flattening versus the inx. B is correct. Apositive butterfly incates a crease in the butterfly spreeto expecterise in short- anlong-term yiel-to-maturity combineith a lowermeum-term yielto-maturity. Sinthe active portfolio is shortration versus theinx in the 2-year, 5-year, an30-yematurities anlong ration in the10-year, it will generate excess return if the butterfly sprefalls. 老师请问,KR收益率曲线的关系是什么呢?Active Portfolio的KR2y, 5y, 30y) 小于Benchmark,就直接让(2y, 5y, 30y)收益率曲线上升就能outperform benchmark?\"我们的目的是让active portfolio outperform benchmark。先观察active portfolio与benchmark在KR差异,可以看到,对于短期(2y、5y)和长期(30y),active portfolio 的KRbenchmark;对于中期(10y),active portfolio 的KRbenchmark,那么就应该让长期与短期的收益率曲线上升,中期收益率曲线下降,才会使得active outperform benchmark\"

2022-12-15 15:20 1 · 回答

NO.PZ202112010200000702 问题如下 Whiof the following statements best characterizes how the activeportfolio is positionefor yielcurve changes relative to the inxportfolio? A.The active portfolio ispositioneto benefit from a besteepening of the yielcurve versus thebenchmark portfolio. B.The active portfolio is positioneto benefit from a positive butterfly movement in the shape of the yielcurve versus the inx. C.The active portfolio is positioneto benefit from yielcurve flattening versus the inx. B is correct. Apositive butterfly incates a crease in the butterfly spreeto expecterise in short- anlong-term yiel-to-maturity combineith a lowermeum-term yielto-maturity. Sinthe active portfolio is shortration versus theinx in the 2-year, 5-year, an30-yematurities anlong ration in the10-year, it will generate excess return if the butterfly sprefalls. 我是这样理解的,active portfolio的5年的KR大,说明active portfolio有比较多的exposure to 中期 rates,类似于bullet。那么对于bullet来说,中期利率下降,带来收益,所以是B,这样理解对吗

2022-07-19 07:56 1 · 回答