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鹏鹏 · 2024年01月18日

老师能讲一下BUY and hold 的roll down return吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000801

问题如下：

The rolldown returns over the 1-year investment horizon for the Buy-and-Hold and Yield Curve Rolldown portfolios are closest to:

选项：

A.

1.00% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

B.

0.991% for the Buy-and-Hold portfolio and 3.01% for the Yield Curve Rolldown portfolio, respectively.

C.

0.991% for the Buy-and-Hold portfolio and 2.09% for the Yield Curve Rolldown portfolio, respectively.

解释：

A is correct.

Since both strategies use zero-coupon bonds, the rolldown return is calculated from expected bond price changes from “rolling down” the THB yield curve, which is assumed to be static.

  • Buy and Hold: 1.00% = (100.00 - 99.009)/99.009
  • Yield Curve Rolldown: 3.01% = (99.009 - 96.1169)/96.1169

老师能讲一下BUY and hold 的roll down return吗？没理解啥意思 ，能详细讲解一下 buy and holdde 计算吗

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1 个答案

pzqa015 · 2024年01月19日

嗨，从没放弃的小努力你好：


buy and hold策略是买入并持有到期，比如你的投资期是1年，那你就买一只剩余期限1年的债，拿到期就好了；

roll down return对应的是riding the yield curve策略，你的投资期是1年，但你会买一个剩余两年期的债，然后在1年后卖出，或者说，你买一只剩余期限大于你投资期的债，你持有一年后卖出。

两种策略能够获益的前提是收益率曲线是不变的，如果投资期相同，rolldown return 的收益是高于buy and hold的收益的。

这道题就展示了上述结论的计算过程。

只要计算收益，用的公式就是（Pending-Pbeginning）/Pbeginning，这道题中

对于buy and hold：Pending是100，Pbeginning是99.009

yield curve rolldown：Pending是99.009，Pbeginning96.1169

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努力的时光都是限量版，加油！

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