NO.PZ202112010200000108
问题如下:
If the manager has a positive butterfly view on Australian government yields-to-maturity, the best portfolio position strategy to pursue is to:
选项:
A.purchase the bullet portfolio
and sell the barbell portfolio.
sell the bullet portfolio and sell the barbell portfolio.
purchase the equally weighted portfolio and sell the barbell portfolio.
解释:
A is correct.
A positive butterfly view indicates an expected 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.
The investor therefore benefits from a long medium-term (bullet) position and a short short-term and long-term (barbell) portfolio. The portfolio in answer B represents the opposite exposure and benefits from a negative butterfly view, while in C, combining short barbell and long equally weighted portfolios leaves the investor with bullet portfolio exposure.
positive butterfly是长短期r高中期r低,但是价格不是两端低中间高么?L/S是看r还是看price?谢谢老师