发亮_品职助教 · 2019年05月28日
这道题对应的题干信息在这里:
One year ago, given her expectations of a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping, McLaughlin elected to position her portfolio solely in 20-year US Treasury bonds with a coupon rate of 4% and a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629.
然后题目问,去年他执行的是哪种策略?
首先我们的策略分为Stable yield curve策略和Unstable yield curve策略;
Stable yield curve策略包括:
Unstable yield curve策略包括:
其中Stable yield curve下Riding the yield curve除了要求收益率曲线Stable外,还要求收益率曲线是Upward sloping的;
发现题干刚好出现了这两个说法:说a stable yield curve over the coming 12 months,the yield curve was upward sloping,所以初步可以判断,他做的是Riding the yield curve策略。
继续往下看,发现他的策略是:这一年,低价买入债券,高价卖出债券。这恰好就是Riding the yield curve的目的。所以确定是Riding the yield cuve。
不是Carry trade,因为Carry trade是借低利率投资高利率赚取息差,与题干描述不符。
也不是Barbell,Barbell是Unstable yield curve下的策略,本题是Stable yield curve下的策略,同时Barbell是权重集中在短期、长期的债券组合,与题干描述不符。