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jojo · 2024年07月05日

请问这个是在知识框架图的哪里?

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NO.PZ202303270300007702

问题如下:

(2) Which of the following active portfolios is expected to have the highest excess return versus the index if European economies are expected to experience an earlier and much stronger credit cycle recovery than the United States?

选项:

A.

EUR HY 50.0%, EUR IG 25.0%, USD IG 12.5%, USD HY 12.5%

B.

EUR IG 50.0%, EUR HY 25.0%, USD IG 12.5%, USD HY 12.5%

C.

EUR HY 33.3%, US HY 33.3%, EUR IG 16.7%, USD IG 16.7%

解释:

A is correct. Given that high-yield spreads are expected to fall the most in an economic recovery, the manager should choose the portfolio with the highest percentage of EUR HY credit exposure.

Given that high-yield spreads are expected to fall the most in an economic recovery, the manager should choose the portfolio with the highest percentage of EUR HY credit exposure.


我没有找到这个题目对应的知识点,谢谢!

1 个答案

发亮_品职助教 · 2024年07月05日

没有原句出现,但可以参考一下下面这句:


对于较低评级的债券(high-yield bond),当credit cycle变化时,其credit spread会有更大的变动:

For lower-rated issuers, their credit spread slope and level change more with the credit cycle.



所以可知,当经济周期发生改变时,HY bond的spread会随着发生更大的改变(比Investment grade要更大)


已知题目是economic recovery,经济状况变好,这种情况下HY bond的违约风险及Credit spread会更大幅度的下降,于是盈利的策略就是提前买入这种HY bond享受将来价格上升的盈利。

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