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EatSleepDrive · 2023年12月06日

持有到多久算长期持有

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000041

问题如下：

An investor purchases an eight-year, 6.4% annual coupon eurobond priced at par (settlement: 15 June 2031; maturity: 15 December 2039) and sells it after six years. Assuming interest rates rise by 100 bps immediately after purchase, the investor’s rate of return at the end of six years is:

选项：

A.

lower than 6.4%.

B.

equal to 6.4%.

C.

higher than 6.4%.

解释：

A is correct. The future value of reinvested coupon interest is

= FV(0.054,6,6.4,0,0) = 46.245.

The sale price of the bond at the end of six years is

= PV(0.054,2,6.40,100,0) = 98.202,

which results in a six-year horizon yield of 6.32%, which is lower than 6.40%:


B and C are incorrect, because interest rates have risen and the investor’s investment horizon is not long enough to offset the price decline with additional reinvestment return.

不是说长期持有reinvestment risk会更大么，利率上升那reinvestment的收入应该会大于price的下降，那total return不应该上升吗。8年期的债券持有6年还不算长期持有？

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1 个答案

pzqa015 · 2023年12月06日

嗨，从没放弃的小努力你好：


是如果mac duration＜investment horizon，那么再投资收益会超过价格下降，total return会上升，这道题没有提到mac duration，只是单纯提到买入后利率上涨，那么无法用这个结论定性判断的，只能通过计算来判断收益情况，就像解析那样。要算一下coupon、coupon再投资收益以及卖出价格

根据P0(1+r)^n=p1+coupon+RI，来计算r。

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