NO.PZ202209060200004204
问题如下:
In Larent’s discussion about the top-down approach to portfolio construction, she is most likely correct about:选项:
A.assessing the impact of yield curve reshaping. B.maturity weighting related to a change in spread curve. C.the allocation of lower-quality bonds in a credit portfolio.解释:
SolutionC is correct. Larent’s comment about credit portfolios that are overweight lower-quality bonds likely outperforming a global benchmark whenever global economic conditions improve is correct.
A is incorrect. Effective duration is used to measure the impact of a parallel change in the yield curve, not a steepening in the yield curve.
B is incorrect. With respect to the spread curve, overweighting shorter-maturity bonds and underweighting longer-maturity bonds is not optimal whenever there is an expectation that a relatively wide spread curve will flatten. When a wide spread curve flattens, the yields of longer-maturity bonds decline by a magnitude that is greater than the magnitude of changes (up or down) in the yields of shorter-maturity bonds. Accordingly, the optimal portfolio construction strategy is to be underweight shorter-maturity bonds and overweight longer-maturity bonds.
B is incorrect. With respect to the spread curve, overweighting shorter-maturity bonds and underweighting longer-maturity bonds is not optimal whenever there is an expectation that a relatively wide spread curve will flatten. When a wide spread curve flattens, the yields of longer-maturity bonds decline by a magnitude that is greater than the magnitude of changes (up or down) in the yields of shorter-maturity bonds. Accordingly, the optimal portfolio construction strategy is to be underweight shorter-maturity bonds and overweight longer-maturity bonds.
如题