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

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

添加评论
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

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 261

    浏览
相关问题

NO.PZ202112010200000801问题如下 The rollwn returns overthe 1-yeinvestment horizon for the Buy-anHolanYielCurve Rollwnportfolios are closest to: A.1.00% for the Buy-anHolortfolio an3.01% for the YielCurve Rollwn portfolio, respectively.B.0.991% for the Buy-anHolportfolio an3.01% for the YielCurve Rollwn portfolio, respectively.C.0.991% for the Buy-anHolportfolio an2.09% for the YielCurve Rollwn portfolio, respectively. A is correct.Sinboth strategiesuse zero-coupon bon, the rollwn return iscalculatefrom expectebonprichanges from “rolling wn” the THByielcurve, whiisassumeto static.Buy anHol 1.00% = (100.00 - 99.009)/99.009YielCurve Rollwn: 3.01% = (99.009 - 96.1169)/96.1169 我明白应该用spot rate而不是YTM， 但spot rate是怎么算出来的？

2023-06-07 09:44 2 · 回答

NO.PZ202112010200000801 问题如下 The rollwn returns overthe 1-yeinvestment horizon for the Buy-anHolanYielCurve Rollwnportfolios are closest to: A.1.00% for the Buy-anHolortfolio an3.01% for the YielCurve Rollwn portfolio, respectively. B.0.991% for the Buy-anHolportfolio an3.01% for the YielCurve Rollwn portfolio, respectively. C.0.991% for the Buy-anHolportfolio an2.09% for the YielCurve Rollwn portfolio, respectively. A is correct.Sinboth strategiesuse zero-coupon bon, the rollwn return iscalculatefrom expectebonprichanges from “rolling wn” the THByielcurve, whiisassumeto static.Buy anHol 1.00% = (100.00 - 99.009)/99.009YielCurve Rollwn: 3.01% = (99.009 - 96.1169)/96.1169 表格中buy anhol直接持有至到期刚好一年ytm=1%， 为啥题目让计算buy anhol的rollwn return 没明白

2022-11-01 19:12 2 · 回答

NO.PZ202112010200000801 问题如下 The rollwn returns overthe 1-yeinvestment horizon for the Buy-anHolanYielCurve Rollwnportfolios are closest to: A.1.00% for the Buy-anHolortfolio an3.01% for the YielCurve Rollwn portfolio, respectively. B.0.991% for the Buy-anHolportfolio an3.01% for the YielCurve Rollwn portfolio, respectively. C.0.991% for the Buy-anHolportfolio an2.09% for the YielCurve Rollwn portfolio, respectively. A is correct.Sinboth strategiesuse zero-coupon bon, the rollwn return iscalculatefrom expectebonprichanges from “rolling wn” the THByielcurve, whiisassumeto static.Buy anHol 1.00% = (100.00 - 99.009)/99.009YielCurve Rollwn: 3.01% = (99.009 - 96.1169)/96.1169 2年期债券YTM=2%。 那么PB=100/（（1+2%）^2) = 96 . 过了1年以后，PE=100/(1+2%)=98. 我理解PE/PB-1=2%为什么答案里面的PE是用100除以1.01作为期末债券价格呢？

2022-08-23 16:21 1 · 回答

NO.PZ202112010200000801问题如下 The rollwn returns overthe 1-yeinvestment horizon for the Buy-anHolanYielCurve Rollwnportfolios are closest to: A.1.00% for the Buy-anHolortfolio an3.01% for the YielCurve Rollwn portfolio, respectively. B.0.991% for the Buy-anHolportfolio an3.01% for the YielCurve Rollwn portfolio, respectively. C.0.991% for the Buy-anHolportfolio an2.09% for the YielCurve Rollwn portfolio, respectively. A is correct.Sinboth strategiesuse zero-coupon bon, the rollwn return iscalculatefrom expectebonprichanges from “rolling wn” the THByielcurve, whiisassumeto static.Buy anHol 1.00% = (100.00 - 99.009)/99.009YielCurve Rollwn: 3.01% = (99.009 - 96.1169)/96.1169 看到解析答案中提到“Sinboth strategies use zero-coupon bon, the rollwn return is calculatefrom expectebonprichanges from “rolling wn” the THB yielcurve”为什么要强调zero-coupon bon? 难道付息债券的rollwn return之计算方法就会不同？

2022-04-17 22:10 1 · 回答