NO.PZ2023010407000009
问题如下:
Next, while researching relative value strategies, Mukilteo considers a government bond strategy that involves buying lower-liquidity, off-the-run bonds and selling higher-liquidity, duration-matched, on-the-run bonds.
The government bond strategy that Mukilteo considers is best described as a:
选项:
A.
carry trade.
B.
yield curve trade.
C.
long/short credit trade.
解释:
A is correct. Carry
trades involve going long a higher-yielding security and shorting a
lower-yielding security with the expectation of receiving the positive carry
and of profiting on long and short sides of the trade when the temporary
relative mispricing reverts to normal. A classic example of a fixed-income
arbitrage trade involves buying lower-liquidity, off-the-run government
securities and selling higher-liquidity, duration-matched, on-the-run
government securities. Interest rate and credit risks are hedged because long
and short positions have the same duration and credit exposure. So, the key
concern is liquidity risk. Under normal conditions, as time passes, the more
(less) expensive on-the-run (off-the-run) securities will decrease (increase)
in price as the current on-the-runs are replaced by a more liquid issue of new
on-the-run bonds that then become off-the-run bonds.
B is incorrect
because Mukilteo considers a carry trade, not a yield curve trade. For yield
curve trades, the prevalent calendar spread strategy involves taking long and
short positions at different points on the yield curve where the relative
mispricing of securities offers the best opportunities, such as in a curve
flattening or steepening, to profit. Perceptions and forecasts of macroeconomic
conditions are the backdrop for these types of trades. The positions can be in
fixed-income securities of the same issuer; in that case, most credit and
liquidity risks would likely be hedged, making interest rate risk the main
concern. Alternatively, longs and shorts can be taken in the securities of
different issuers—but typically ones operating in the same industry or sector. In
this case, differences in credit quality, liquidity, volatility, and
issue-specific characteristics would likely drive the relative mispricing. In
either case, the hedge fund manager aims to profit as the mispricing reverses
(mean reversion occurs) and the longs rise and shorts fall in value within the
targeted time frame.
C is incorrect
because Mukilteo considers a carry trade, not a long/short credit trade. In a
long/short credit trade, valuation differences result from differences in
credit quality—for example, investment-grade versus non-investment-grade
securities. It involves the relative credit risks across different security
issuers and tends to be naturally more volatile than the exploitation of small
pricing differences within sovereign debt alone
讲义不够明白,怕写出三种方法,谢谢