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米妮涵 · 2023年07月02日

麻烦解释一下B选项的答案

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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:

Solution

C 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

1 个答案

pzqa015 · 2023年07月03日

嗨,努力学习的PZer你好:


B选项:在一个评级内部,可以降低剩余到期日长的债券占比,因为我预期spread将变的flatten。预期spread curve变flatten,也就是相对于短期spread,长期spread是下降的,那么应该增加长期债券的占比,而不是降低长期债券的占比,所以这句话是错的。

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