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石欣灵 · 2019年05月28日

yield curve strategy

老师,第一题怎么理解
1 个答案

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:

  1. buy and hold.
  2. riding the yield curve.
  3. sell convexity
  4. carry trade

Unstable yield curve策略包括:

  1. Sell convexity
  2. duration management
  3. barbell/bullet structure

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。

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