开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Betty-Che · 2024年01月17日

portfolio的convexity是怎么算的

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000102

问题如下：

The manager estimates that accelerated economic growth in Australia will increase the level of government yields-to-maturity by 50 bps.

Under this scenario, which of the three portfolios experiences the smallest decline in market value?

选项：

A.

Bullet portfolio

B.

Barbell portfolio

C.

Equally weighted portfolio

解释：

A is correct. The change in portfolio value due to a rise in Australian government rate levels may be calculated using Equation:

%∆PVFull ≈ -(ModDur × ΔYield) + [½ × Convexity × (ΔYield)2],where ModDur and Convexity reflect portfolio duration and convexity, respectively. Therefore, the bullet portfolio declines by 2.093%, or -2.093% = (-4.241 × 0.005) + [0.5 × 22.1 × (0.0052)],

followed by a drop of 2.343% for the equally weighted portfolio, or

-2.343% = (-4.779 × 0.005) + [0.5 × 37.4 × (0.0052)],

and a drop of 2.468% for the barbell portfolio, or

-2.468% = (-5.049 × 0.005) + [0.5 × 45.05 × (0.0052)].

如题，barbells和equal weighted的convexity是怎么算的，看答案好像是直接平均的，这样合理吗


添加评论
2 个答案
已采纳答案

pzqa015 · 2024年01月18日

嗨，从没放弃的小努力你好：


不是简单平均，是加权平均的


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2024年01月18日

嗨，爱思考的PZer你好：



2Y的convexity是4.9，4.5年的convexity是22.1，9年的convexity是85.2.

barbell portfolio由2年和9年债，各50%组成。所以，barbell的convexity=（85.2+4.9）/2=45.05

equal weights由2年、4.5年和9年各1/3组成，所以equal weights的convexity=(4.9+22.1+85.2)/3=37.4

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 2

    回答

  • 0

    关注

  • 220

    浏览
相关问题

NO.PZ202112010200000102 问题如下 The manager estimatesthaccelerateeconomic growth in Australia will increasethe levelofgovernment yiel-to-maturity 50 bps. Unr this scenario, whiof thethree portfolios experiences the smallest cline in market value? A.Bulletportfolio B.Barbell portfolio C.Equally weighteportfolio A is correct. Thechange in portfolio value e to a rise in Australigovernment rate levelsmcalculateusing Equation:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the bullet portfolio clines 2.093%, or -2.093% = (-4.241 × 0.005)+ [0.5 × 22.1 × (0.0052)],followea op of2.343% for the equally weighteportfolio, or -2.343% = (-4.779 ×0.005) + [0.5 × 37.4 × (0.0052)], ana op of 2.468%for the barbell portfolio, or -2.468% = (-5.049 ×0.005) + [0.5 × 45.05 × (0.0052)]. 这题答案还用公式算出了每个portfolio的prichange是多少. 我是直接看A的ration最小，就选了请问我的方法有什么问题么?谢谢。

2024-10-27 07:42 1 · 回答

NO.PZ202112010200000102 问题如下 A Syey-baseixeincome portfolio manager is consiring the following Commonwealthof Australia government bon traon the ASX (AustraliStoExchange): The manager isconsiring portfolio strategies baseupon various interest rate scenariosover the next 12 months. She is consiring three long-only governmentbonportfolioalternatives, follows:Bullet: Invest solely in 4.5-yegovernment bonBarbell: Invest equally in 2-yean9-yegovernment bonEquweights: Invest equally in 2-year, 4.5-year, an9-yebon The manager estimatesthaccelerateeconomic growth in Australia will increasethe levelofgovernment yiel-to-maturity 50 bps. Unr this scenario, whiof thethree portfolios experiences the smallest cline in market value? A.Bulletportfolio B.Barbell portfolio C.Equally weighteportfolio A is correct. Thechange in portfolio value e to a rise in Australigovernment rate levelsmcalculateusing Equation:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the bullet portfolio clines 2.093%, or -2.093% = (-4.241 × 0.005)+ [0.5 × 22.1 × (0.0052)],followea op of2.343% for the equally weighteportfolio, or -2.343% = (-4.779 ×0.005) + [0.5 × 37.4 × (0.0052)], ana op of 2.468%for the barbell portfolio, or -2.468% = (-5.049 ×0.005) + [0.5 × 45.05 × (0.0052)]. 我想问一下，从定性的角度，barbell的convexity是大于bullet 和laler portfoilo。所以interest rate 下降 50%，我们应该选择convexity最大的 barbell 组合才对，为什么计算出来的答案是bullet？什么和定量的理解矛盾？

2024-07-09 14:46 1 · 回答

NO.PZ202112010200000102 问题如下 The manager estimatesthaccelerateeconomic growth in Australia will increasethe levelofgovernment yiel-to-maturity 50 bps. Unr this scenario, whiof thethree portfolios experiences the smallest cline in market value? A.Bulletportfolio B.Barbell portfolio C.Equally weighteportfolio A is correct. Thechange in portfolio value e to a rise in Australigovernment rate levelsmcalculateusing Equation:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the bullet portfolio clines 2.093%, or -2.093% = (-4.241 × 0.005)+ [0.5 × 22.1 × (0.0052)],followea op of2.343% for the equally weighteportfolio, or -2.343% = (-4.779 ×0.005) + [0.5 × 37.4 × (0.0052)], ana op of 2.468%for the barbell portfolio, or -2.468% = (-5.049 ×0.005) + [0.5 × 45.05 × (0.0052)]. 请问这种equally weighteconvexity和M以直接加权平均吗？获得新的组合MConV. ,能一下原理吗？谢谢

2024-05-04 15:08 1 · 回答

NO.PZ202112010200000102 问题如下 A Syey-baseixeincome portfolio manager is consiring the following Commonwealthof Australia government bon traon the ASX (AustraliStoExchange): The manager isconsiring portfolio strategies baseupon various interest rate scenariosover the next 12 months. She is consiring three long-only governmentbonportfolioalternatives, follows:Bullet: Invest solely in 4.5-yegovernment bonBarbell: Invest equally in 2-yean9-yegovernment bonEquweights: Invest equally in 2-year, 4.5-year, an9-yebon The manager estimatesthaccelerateeconomic growth in Australia will increasethe levelofgovernment yiel-to-maturity 50 bps. Unr this scenario, whiof thethree portfolios experiences the smallest cline in market value? A.Bulletportfolio B.Barbell portfolio C.Equally weighteportfolio A is correct. Thechange in portfolio value e to a rise in Australigovernment rate levelsmcalculateusing Equation:%∆PVFull ≈ -(Mour ×ΔYiel + [½ × Convexity × (ΔYiel2],where Mour anonvexity refleportfolio ration anconvexity, respectively. Therefore,the bullet portfolio clines 2.093%, or -2.093% = (-4.241 × 0.005)+ [0.5 × 22.1 × (0.0052)],followea op of2.343% for the equally weighteportfolio, or -2.343% = (-4.779 ×0.005) + [0.5 × 37.4 × (0.0052)], ana op of 2.468%for the barbell portfolio, or -2.468% = (-5.049 ×0.005) + [0.5 × 45.05 × (0.0052)]. 老师好，想问下，这道题的答案中，是通过公式计算得出各个portfolio的变动后，再得到的答案。我在回答这个题的时候，是通过判断哪个portfolio的ration最低判断出的bullet portfolio，答案也是正确的。这样的思路是不是适合选择题？如果是主观题，是不是还得老老实实的按公式计算？

2024-02-14 11:10 1 · 回答