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

皓月 · 2024年11月04日

这题解析没懂

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000002

问题如下：

An analyst manages an active fixed-income fund that is benchmarked to the Bloomberg Barclays US Treasury Index.

This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years. The yield curve is upward-sloping and expected to remain unchanged. Which of the following is the least attractive portfolio positioning strategy in a static curve environment?

选项：

A.

Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035

B.

Entering a pay-fixed, 30-year USD interest rate swap

C.

Purchasing a 20-year Treasury and financing it in the repo market

解释：

B is correct.

The 30-year pay-fixed swap is a “short” duration position and also results in negative carry (that is, the fixed rate paid would exceed MRR received) in an upward-sloping yield curve environment; therefore, it is the least attractive static curve strategy.

In the case of a.), the manager enters a “buy-and-hold” strategy by purchasing the 10-year zero-coupon bond and extends duration, which is equal to 9.80 = 10/1.02 since the Macaulay duration of a zero equals its maturity, and ModDur = MacDur/(1+r) versus 7.25 for the index.

Under c.), the manager introduces leverage by purchasing a long-term bond and financing it at a lower short-term repo rate.

我蒙对的，但是没看懂为什么选择这个

添加评论
1 个答案

发亮_品职助教 · 2024年11月05日

这道题考的是stable yield curve下的策略。

已知是stable yield curve，benchmark投资的债券是8.5 years，其duration是7.25

现在问，对于组合而言，哪个策略是least attractive的一项。

在stable yield curve下，组合可以增强收益的策略有：

  • buy-and-hold（extend duration增加组合duration/Maturity）
  • roll down the yield curve
  • leverage

buy-and-hold时，买入期限比benchmark更长的债券，因为是Upward sloping的yield curve，长期债券的收益率更高，这可以获得比Benchmark更高的收益。债券的期限更长其实就是duration更大，所以这个增强收益的策略也叫extend duration。

选项A说买入期限为10年期的零息债券。

Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035

该债券的期限是10年，大于benchmark的8.5年，且因为是零息债券，所以其Macaulay duration=maturity=10年。其Modified duration=10/(1+2%) = 9.80，这个duration和maturity确实比benchmark要大，所以选项A可以增强收益，是extend duration。

 

选项B是进入一个30年期的Pay fixed receive floating swap：

Entering a pay-fixed, 30-year USD interest rate swap

30年期Pay-fixed swap，要支付30年的fixed coupon，这相当于就是发行了一个30年期的固定利率债券。发行债券是short duration，所以获得short 30-year债券duration头寸

在swap里面的receive floating，是收到浮动利率cash flow，相当于是买入了浮动利率债券，这获得浮动利率债券的正duration。

于是该swap的duration是：

short 30-year债券的duration + 获得浮动利率债券的正duration

由于浮动利率债券的duration极小，所以这个swap是会获得negative duration。这会降低组合的duration。不符合在stable yield curve时，extend duration的策略。

且，本题是upward sloping yield curve，长期利率更大，30年期利率要远远大于floating rate，所以Pay 30-year fixed，receive floating，支付30year利率，收到短期浮动利率，我们会有negative cash flow。这也不是一个最佳的策略。所以本题B不是stable yield curve下的最佳策略。

 

选项C：

Purchasing a 20-year Treasury and financing it in the repo market

买入一个20年期的债券，这个债券的期限明显大于benchmark的8.5 years，是extend duration，且选项C还额外用repo策略融资了。所以选项C是一个加杠杆的策略。在stable yield curve下这会进一步加大收益。所以本题C也是一个最佳的策略。

  • 1

    回答

  • 0

    关注

  • 51

    浏览
相关问题

NO.PZ2021120102000002 问题如下 analyst manages activefixeincome funthis benchmarketo the Bloomberg Barclays US TreasuryInx.This inx of US government bon currently ha mofieortfolio ration of 7.25 anaverage maturity of 8.5 years. The yielurve is upwarsloping anexpecteto remain unchange Whiof thefollowing is the least attractive portfolio positioning strategy in astatic curve environment? A.Purchasinga 10-yezero-coupon bonwith a yielof 2% ana priof 82.035 B.Entering a pay-fixe 30-yeUSinterest rate sw C.Purchasing a 20-yeTreasury anfinancing it in the repo market B is correct.The 30-yepay-fixeswis a “short”ration position analso results innegative carry (this, the fixerate paiwoulexceeMRR receive in anupwarsloping yielcurve environment; therefore, it is the leastattractive static curvestrategy.In the case of a.), the manager enters a “buy-anholstrategy purchasing the 10-yezero-coupon bonanexten ration,whiis equto 9.80 = 10/1.02 sinthe Macaulration of a zeroequals its maturity,anMour = Macr/(1+r) versus 7.25 for the inx.Unr c.), the manager introces leverage bypurchasing a long-term bonanfinancing it a lowershort-term repo rate. 老师，题干里面有这样一句话This inx of US government bon currently ha mofieportfolio ration of 7.25 anaverage maturity of 8.5 years. mofieration 是经过调整后的久期，一般用于计算BPV，average maturity 应该就是平均还款期限吧，就是我们常说的麦考林久期。麦考林久期除以（1+y）就等于mofieration了。题干这么给，是为了更精细化是吧？老师您看我上述理解对吗？谢谢

2024-05-22 12:38 1 · 回答

NO.PZ2021120102000002 问题如下 analyst manages activefixeincome funthis benchmarketo the Bloomberg Barclays US TreasuryInx.This inx of US government bon currently ha mofieortfolio ration of 7.25 anaverage maturity of 8.5 years. The yielurve is upwarsloping anexpecteto remain unchange Whiof thefollowing is the least attractive portfolio positioning strategy in astatic curve environment? A.Purchasinga 10-yezero-coupon bonwith a yielof 2% ana priof 82.035 B.Entering a pay-fixe 30-yeUSinterest rate sw C.Purchasing a 20-yeTreasury anfinancing it in the repo market B is correct.The 30-yepay-fixeswis a “short”ration position analso results innegative carry (this, the fixerate paiwoulexceeMRR receive in anupwarsloping yielcurve environment; therefore, it is the leastattractive static curvestrategy.In the case of a.), the manager enters a “buy-anholstrategy purchasing the 10-yezero-coupon bonanexten ration,whiis equto 9.80 = 10/1.02 sinthe Macaulration of a zeroequals its maturity,anMour = Macr/(1+r) versus 7.25 for the inx.Unr c.), the manager introces leverage bypurchasing a long-term bonanfinancing it a lowershort-term repo rate. Bpfixeswap为什么是降低ration

2024-03-26 22:05 1 · 回答

NO.PZ2021120102000002问题如下 analyst manages activefixeincome funthis benchmarketo the Bloomberg Barclays US TreasuryInx.This inx of US government bon currently ha mofieortfolio ration of 7.25 anaverage maturity of 8.5 years. The yielurve is upwarsloping anexpecteto remain unchange Whiof thefollowing is the least attractive portfolio positioning strategy in astatic curve environment? A.Purchasinga 10-yezero-coupon bonwith a yielof 2% ana priof 82.035B.Entering a pay-fixe 30-yeUSinterest rate swapC.Purchasing a 20-yeTreasury anfinancing it in the repo market B is correct.The 30-yepay-fixeswis a “short”ration position analso results innegative carry (this, the fixerate paiwoulexceeMRR receive in anupwarsloping yielcurve environment; therefore, it is the leastattractive static curvestrategy.In the case of a.), the manager enters a “buy-anholstrategy purchasing the 10-yezero-coupon bonanexten ration,whiis equto 9.80 = 10/1.02 sinthe Macaulration of a zeroequals its maturity,anMour = Macr/(1+r) versus 7.25 for the inx.Unr c.), the manager introces leverage bypurchasing a long-term bonanfinancing it a lowershort-term repo rate. LT的yiel大，买久期大的价格便宜，可以赚取时间收益，是这么理解吗？如果预期长期利率上升更多，才需要减少久期对吗

2024-01-12 08:56 1 · 回答

NO.PZ2021120102000002 问题如下 analyst manages activefixeincome funthis benchmarketo the Bloomberg Barclays US TreasuryInx.This inx of US government bon currently ha mofieortfolio ration of 7.25 anaverage maturity of 8.5 years. The yielurve is upwarsloping anexpecteto remain unchange Whiof thefollowing is the least attractive portfolio positioning strategy in astatic curve environment? A.Purchasinga 10-yezero-coupon bonwith a yielof 2% ana priof 82.035 B.Entering a pay-fixe 30-yeUSinterest rate sw C.Purchasing a 20-yeTreasury anfinancing it in the repo market B is correct.The 30-yepay-fixeswis a “short”ration position analso results innegative carry (this, the fixerate paiwoulexceeMRR receive in anupwarsloping yielcurve environment; therefore, it is the leastattractive static curvestrategy.In the case of a.), the manager enters a “buy-anholstrategy purchasing the 10-yezero-coupon bonanexten ration,whiis equto 9.80 = 10/1.02 sinthe Macaulration of a zeroequals its maturity,anMour = Macr/(1+r) versus 7.25 for the inx.Unr c.), the manager introces leverage bypurchasing a long-term bonanfinancing it a lowershort-term repo rate. 全题讲解

2024-01-11 15:26 1 · 回答