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haha · 2023年07月10日

如果此题改为"static and downward-sloping"此时应该是什么策略?

NO.PZ2021120102000002

问题如下:

An analyst manages an activefixed-income fund that is benchmarked to the Bloomberg Barclays US TreasuryIndex.

This index of US government bonds currently has a modifiedportfolio duration of 7.25 and an average maturity of 8.5 years. The yieldcurve is upward-sloping and expected to remain unchanged. Which of thefollowing is the least attractive portfolio positioning strategy in astatic curve environment?

选项:

A.

Purchasinga 10-year zero-coupon bond with a yield of 2% and a price of 82.035

B.

Entering a pay-fixed, 30-year USD interest rate swap

C.

Purchasing a 20-year Treasury and financing it in the repo market

解释:

B is correct.

The 30-year pay-fixed swap is a “short”duration position and also results innegative carry (that is, the fixed rate paid would exceed MRR received) in anupward-sloping yield curve environment; therefore, it is the leastattractive static curvestrategy.

In the case of a.), the manager enters a “buy-and-hold”strategy by purchasing the 10-year zero-coupon bond and extends duration,which is equal to 9.80 = 10/1.02 since the Macaulay duration of a zeroequals its maturity,and ModDur = MacDur/(1+r) versus 7.25 for the index.

Under c.), the manager introduces leverage bypurchasing a long-term bond and financing it at a lowershort-term repo rate.

如果此题改为"static and downward-sloping"此时应该是什么策略?

2 个答案

pzqa31 · 2023年07月10日

嗨,努力学习的PZer你好:


加久期肯定不行,收益率曲线向下,期限短的债券收益更高,此时应该降低久期。加杠杆的逻辑其实就是融入低成本资金,投资更高收益的资产,这个和收益率曲线向上向下没有关系。不过一般如果收益率曲线向下,代表此时市场情况不好,这种情形下短期资金一般成本也不会太低。


同学只要掌握咱们讲义上讲到的几种情形就可以了,收益率曲线向下的情况不在咱们考察范围之内,本来也是比较极端的市场情况,一般正常情况下收益率曲线还是向上倾斜的。

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努力的时光都是限量版,加油!

pzqa31 · 2023年07月10日

嗨,爱思考的PZer你好:


buy and hold

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

haha · 2023年07月10日

可以加杠杆增久期么?

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