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wide spread curve flatten 的表述是不是和经济变好矛盾了

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问题如下：

In Larent’s discussion about the top-down approach to portfolio construction, she is most likely correct about:

选项：

A.assessing the impact of yield curve reshaping. B.maturity weighting related to a change in spread curve. C.the allocation of lower-quality bonds in a credit portfolio.

解释：

Solution

C is correct. Larent’s comment about credit portfolios that are overweight lower-quality bonds likely outperforming a global benchmark whenever global economic conditions improve is correct.

A is incorrect. Effective duration is used to measure the impact of a parallel change in the yield curve, not a steepening in the yield curve.

B is incorrect. With respect to the spread curve, overweighting shorter-maturity bonds and underweighting longer-maturity bonds is not optimal whenever there is an expectation that a relatively wide spread curve will flatten. When a wide spread curve flattens, the yields of longer-maturity bonds decline by a magnitude that is greater than the magnitude of changes (up or down) in the yields of shorter-maturity bonds. Accordingly, the optimal portfolio construction strategy is to be underweight shorter-maturity bonds and overweight longer-maturity bonds.

解析中说When a wide spread curve flattens, the yields of longer-maturity bonds decline by a magnitude that is greater than the magnitude of changes (up or down) in the yields of shorter-maturity bonds. Accordingly, the optimal portfolio construction strategy is to be underweight shorter-maturity bonds and overweight longer-maturity bonds.

原文不是说预计经济变好么？那么短期信用状况会变好，短期spread应该下降更多，长期spread相对下降少些，那么wide spread不应该flatten，应该steepening 呀？

嗨，从没放弃的小努力你好：

同学，注意区分这里说的两个曲线：

首先，We can use effective duration to assess the impact of a likely steepening in the yield curve. 这里的曲线指的其实是基准利率曲线，经济变好，这条曲线是更加steepening，这是一定的，基准利率曲线是直接受宏观经济变化影响的。

然后， Within credit rating categories, we can underweight longer-maturity bonds given my expectation that the relatively wide spread curve will flatten.这里的curve是指的spread curve。

Spread curve描述的就是债券风险补偿（Spread）与期限（Maturity）之间的关系，如下图：

横轴是期限（Maturity），纵轴是债券的Spread，这个Spread可以是OAS，可以是Z-spread；可以是G-spread，其实都无所谓。反正纵轴是要表示债券的风险补偿Spread。

那这样的话，这个Spread curve其实反映的就是：风险补偿Spread与期限之间的关系。然后不同的bond可以有不同的spread curve,比如可以画HYB的spread curve,也可以画不同评级债券的spread curve。相对于基准收益率曲线，Spread curve其实看的更微观，即使在相同的经济条件下，个体依然可以有差异，比如同样是经济变好，AA-级别的债券的spread curve变得steepen,而AAA级别的债券可能会变得flattening.

例如，下图是某个特定公司AA级别的债券的Spread curve，这家公司10年期债券的Spread为10%，5年期债券的Spread为5%。

这里的wide spread curve就是在形容这个Spread curve比较陡峭，短期Spread与长期Spread之间的差异比较大（Wide），或者也可以说信用息差比较宽。

所以题干说：

wide spread curve will flatten，其实就是在说，这条Spread curve由宽息差，变得更加Flatten了。即，长期的Spread会相对下降，短期的Spread会相对上升。

所以其实发现，我们可以分析利率曲线变陡峭，变平坦等等，我们也可以分析Spread曲线变平缓、变陡峭。

他们的分析方式都是一模一样的；只不过利率曲线的纵轴是利率，反映利率与期限的关系；而Spread curve的纵轴是债券的风险补偿Spread，反映的是风险补偿Spread与期限的关系。

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wide spread curve flatten 的表述是不是和经济变好矛盾了

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