不懂题干

NO.PZ202105270100000404 问题如下 Baseon Exhibit 2 anthe anticipateeffects of the monetary polichange, the expecteannureturn over a three-yeinvestment horizon will most likely be: A.lower th2.00%. B.approximately equto 2.00%. C.greater th2.00%. B is correct.If the investment horizon equals the (Macaulay) ration of the portfolio, the capitloss createthe increase in yiel anthe reinvestment effects (gains) will roughly offset, leaving the realizereturn approximately equto the originyielto maturity. This relationship is exaif (the yielcurve is flan(the change in rates occurs immeately in a single step. In practice, the relationship is only approximation. In the case of the mestic sovereign yielcurve, the 20 increase in rates will likely offset the higher reinvestment rate, creating annureturn approximately equto 2.00%. 如果投资期限等于投资组合的(麦考利久期，收益率的增加和再投资效应(收益)造成的资本损失将大致抵消，使收益大致等于到期时的原始收益率。如果(a)收益率曲线是平坦的，并且(b)利率的变化立即在单一步骤中发生，则这种关系是准确的。实际上，这种关系只是一种近似。在国内主权收益曲线的情形中，20个基点的利率上升可能会被更高的再投资率所抵消，创造大约等于2.00%的年回报率。 “The bonmanager notes ththere is a market consensus ththe mestic yielcurve will likely experiena single 20 increase in the neterm a result of monetary tightening anthen remain relatively flanstable for the next three years. ” 题目中的这句话意思是利率曲线会变的flatten 吗？

NO.PZ202105270100000404 问题如下 Baseon Exhibit 2 anthe anticipateeffects of the monetary polichange, the expecteannureturn over a three-yeinvestment horizon will most likely be: A.lower th2.00%. B.approximately equto 2.00%. C.greater th2.00%. B is correct.If the investment horizon equals the (Macaulay) ration of the portfolio, the capitloss createthe increase in yiel anthe reinvestment effects (gains) will roughly offset, leaving the realizereturn approximately equto the originyielto maturity. This relationship is exaif (the yielcurve is flan(the change in rates occurs immeately in a single step. In practice, the relationship is only approximation. In the case of the mestic sovereign yielcurve, the 20 increase in rates will likely offset the higher reinvestment rate, creating annureturn approximately equto 2.00%. 如果投资期限等于投资组合的(麦考利久期，收益率的增加和再投资效应(收益)造成的资本损失将大致抵消，使收益大致等于到期时的原始收益率。如果(a)收益率曲线是平坦的，并且(b)利率的变化立即在单一步骤中发生，则这种关系是准确的。实际上，这种关系只是一种近似。在国内主权收益曲线的情形中，20个基点的利率上升可能会被更高的再投资率所抵消，创造大约等于2.00%的年回报率。 这个知识点是fix income的内容吧， 有在cme 中讲到过么？ 如果有， 在哪里呢？答案中This relationship is exaif (the yielcurve is flan(the change in rates occurs immeately in a single step. 为什么要flcurve呢？题目中已经说 The bonmanager notes ththere is a market consensus ththe mestic yielcurve will likely experiena single 20 increase in the neterm a result of monetary tightening anthen remain relatively flanstable for the next three years。 所以在 neterm，yielcurve是upwarslop，不是flat。 应该是要求yielcurve is static 对么？

NO.PZ202105270100000404 问题如下 Baseon Exhibit 2 anthe anticipateeffects of the monetary polichange, the expecteannureturn over a three-yeinvestment horizon will most likely be: A.lower th2.00%. B.approximately equto 2.00%. C.greater th2.00%. B is correct.If the investment horizon equals the (Macaulay) ration of the portfolio, the capitloss createthe increase in yiel anthe reinvestment effects (gains) will roughly offset, leaving the realizereturn approximately equto the originyielto maturity. This relationship is exaif (the yielcurve is flan(the change in rates occurs immeately in a single step. In practice, the relationship is only approximation. In the case of the mestic sovereign yielcurve, the 20 increase in rates will likely offset the higher reinvestment rate, creating annureturn approximately equto 2.00%. 如果投资期限等于投资组合的(麦考利久期，收益率的增加和再投资效应(收益)造成的资本损失将大致抵消，使收益大致等于到期时的原始收益率。如果(a)收益率曲线是平坦的，并且(b)利率的变化立即在单一步骤中发生，则这种关系是准确的。实际上，这种关系只是一种近似。在国内主权收益曲线的情形中，20个基点的利率上升可能会被更高的再投资率所抵消，创造大约等于2.00%的年回报率。 此时pririsk主导，如果r上升，p下降，则return ytm,如果r下降，p上升，则return ytm.以上理解是否正确？谢谢！

NO.PZ202105270100000404 问题如下 RicharMartin is chief investment officer for the TrunFountion (the fountion), whiha large, globally versifieinvestment portfolio. Martin meets with the fountion’s fixeincome anreestate portfolio managers to review expectereturn forecasts anpotentiinvestments, well to consir short-term mofications to asset weights within the totfunstrategic asset allocation. Martin asks the reestate portfolio manager to scuss the performancharacteristiof reestate. The reestate portfolio manager makes the following statements: Statement 1: Aing traREIT securities to equity portfolio shoulsubstantially improve the portfolio’s versification over the next year. Statement 2: TraREIT securities are more highly correlatewith rereestate anless highly correlatewith equities over multi-yehorizons. Martin looks over the long-run valuation metrithe manager is using for commercireestate, shown in Exhibit 1. The reestate teuses in-house mol for private reestate to estimate the true volatility of returns over time. The mol assumes ththe current observereturn equals the weighteaverage of the current true return anthe previous observereturn. Because the true return is not observable, the mol assumes a relationship between true returns anobservable REIT inx returns; therefore, it uses REIT inx returns proxies for both the unobservable current true return anthe previous observereturn.Martin asks the fixeincome portfolio manager to review the fountion’s bonportfolios. The existing aggregate bonportfolio is broay versifiein mestic aninternationvelopemarkets. The first segment of the portfolio to revieweis the mestic sovereign portfolio. The bonmanager notes ththere is a market consensus ththe mestic yielcurve will likely experiena single 20 increase in the neterm a result of monetary tightening anthen remain relatively flanstable for the next three years. Martin then reviews ration anyielmeasures for the short-term mestic sovereign bonportfolio in Exhibit 2. The scussion turns to the internationvelopefixeincome market. The fountion investein bon issueCountry XYZ, a foreign velopecountry. XYZ’s sovereign yielcurve is currently upwarsloping, anthe yielsprebetween 2-yean10-yeXYZ bon is 100 bps. The fixeincome portfolio manager tells Martin thhe is interestein a mestic market corporate bonissueZeus Manufacturing Corporation (ZMC). ZMC hjust been wngratwo steps a major cret rating agency. In aition to expectemonetary actions thwill raise short-term rates, the yielsprebetween three-yesovereign bon anthe next highest-quality government agenbonwine10 bps.Although the fountion’s fixeincome portfolios have focuseprimarily on velopemarkets, the portfolio manager presents ta in Exhibit 3 on two emerging markets for Martin to consir. Both economies increaseexports of their minerresources over the last ca. The fixeincome portfolio manager also presents information on a new investment opportunity in internationvelopemarket. The teis consiring the bon of Xlp, a large energy exploration anproction company. Both the mestic aninternationmarkets are experiencing synchronizegrowth in G mibetween the trough anthe peof the business cycle. The foreign country’s government hsplayea sciplineapproato maintaining stable monetary anfiscpolicies anhexperiencea rising current account surplus anappreciating currency. It is expectethwith the improvements in free cash flow anearnings, the cret rating of the Xlp bon will upgra Martin refers to the fountion’s asset allocation poliin Exhibit 4 before making any changes to either the fixeincome or reestate portfolios. Baseon Exhibit 2 anthe anticipateeffects of the monetary polichange, the expecteannureturn over a three-yeinvestment horizon will most likely be: A.lower th2.00%. B.approximately equto 2.00%. C.greater th2.00%. B is correct.If the investment horizon equals the (Macaulay) ration of the portfolio, the capitloss createthe increase in yiel anthe reinvestment effects (gains) will roughly offset, leaving the realizereturn approximately equto the originyielto maturity. This relationship is exaif (the yielcurve is flan(the change in rates occurs immeately in a single step. In practice, the relationship is only approximation. In the case of the mestic sovereign yielcurve, the 20 increase in rates will likely offset the higher reinvestment rate, creating annureturn approximately equto 2.00%. 如果投资期限等于投资组合的(麦考利久期，收益率的增加和再投资效应(收益)造成的资本损失将大致抵消，使收益大致等于到期时的原始收益率。如果(a)收益率曲线是平坦的，并且(b)利率的变化立即在单一步骤中发生，则这种关系是准确的。实际上，这种关系只是一种近似。在国内主权收益曲线的情形中，20个基点的利率上升可能会被更高的再投资率所抵消，创造大约等于2.00%的年回报率。 还是应该大于2%？看了这道题的其他问题都没有回答到这个点