如何理解carry trade中的duration match

问题如下：

The government bond strategy that Mukilteo considers is best described as a:

选项：

carry trade.

yield curve trade.

long/short credit trade

解释：

A is correct. Carry trades involve going long a higher-yielding security and shorting a lower-yielding security with the expectation of receiving the positive carry and of profiting on long and short sides of the trade when the temporary relative mispricing reverts to normal. A classic example of a fixed-income arbitrage trade involves buying lower-liquidity, off-the-run government securities and selling higher-liquidity, duration-matched, on-the-run government securities. Interest rate and credit risks are hedged because long and short positions have the same duration and credit exposure. So, the key concern is liquidity risk. Under normal conditions, as time passes, the more (less) expensive on-the-run (off-the-run) securities will decrease (increase) in price as the current on-the-runs are replaced by a more liquid issue of new on-the-run bonds that then become off-the-run bonds.

B is incorrect because Mukilteo considers a carry trade, not a yield curve trade. For yield curve trades, the prevalent calendar spread strategy involves taking long and short positions at different points on the yield curve where the relative mispricing of securities offers the best opportunities, such as in a curve flattening or steepening, to profit. Perceptions and forecasts of macroeconomic conditions are the backdrop for these types of trades. The positions can be in fixed-income securities of the same issuer; in that case, most credit and liquidity risks would likely be hedged, making interest rate risk the main concern. Alternatively, longs and shorts can be taken in the securities of different issuers—but typically ones operating in the same industry or sector. In this case, differences in credit quality, liquidity, volatility, and issue-specific characteristics would likely drive the relative mispricing. In either case, the hedge fund manager aims to profit as the mispricing reverses (mean reversion occurs) and the longs rise and shorts fall in value within the targeted time frame.

C is incorrect because Mukilteo considers a carry trade, not a long/short credit trade. In a long/short credit trade, valuation differences result from differences in credit quality—for example, investment-grade versus non-investment-grade securities. It involves the relative credit risks across different security issuers and tends to be naturally more volatile than the exploitation of small pricing differences within sovereign debt alone.

Carry trades包括做多收益率较高的证券，做空收益率较低的证券，期望在暂时错误定价后恢复正常时获得正利差并在交易的多头和空头双方获利。 固定收益套利交易的一个典型例子是购买流动性较低的非运行政府证券，并出售流动性较高、期限匹配的运行中政府证券。 利率和信用风险被对冲，因为多头和空头头寸具有相同的久期和信用风险。 因此，关键问题是流动性风险。 在正常情况下，随着时间的流逝，随着当前的流动性会被更具流动性的新发行国债所取代，on-the-run证券变成 off-the-run的债券，使其从原来相对贵的价格下降。