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iloveueat · 2019年06月09日

19年mock B AM第5个案例,第3小题,关于收益率曲线骑乘

First, it increases the yield of the portfolio by buying bonds with maturities longer than their investment horizon whenever the yield curve is upward sloping and expected to maintain the same level and whenever the shape and spot rates rise as predicted by forward rates. Second, even if interest rates increase unexpectedly, since the bonds roll down the yield curve, the bonds will appreciate in price.


Q3. Is Akron most likely correct with regard to how portfolio managers can profit from riding the yield curve?

A.        No, he is incorrect with respect to bond maturities.

B.        Yes.

C.        No, he is incorrect regarding the impact of interest rate changes.

这道题答案我理解,但里面有一句话不理解:expected to maintain the same level and whenever the shape and spot rates rise as predicted by forward rates,我知道骑乘的前提是收益率曲线不变,但如果spot rates rise as predicted by forward rates,那么假设收益率曲线是向上倾斜的,假设过了一年之后,则即期收益率曲线不就上移了吗,上移到跟一年前的远期曲线一样,这样即期收益率曲线就变了。就比如现在2年即期收益率2%,1年期即期1.8%,可以算出1年后的1年期利率2.2%,如果spot rates rise as predicted by forward rates,那么1年后的1年期即期利率将变成2.2%,比现在的即期利率都要高,这骑乘策略不就没用了吗·?所以能否解释下spot rates rise as predicted by forward rates,怎么会使骑乘有效?








iloveueat · 2019年06月10日

助教您好,能帮忙解答下吗?谢谢!

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吴昊_品职助教 · 2019年06月10日

the yield curve is upward sloping and expected to maintain the same level and whenever the shape and spot rates rise as predicted by forward rates.这句话不是很严谨,确实存在前后矛盾的事情。前面说maintain the same level就想表达收益率曲线stable的意思。后半句又说spot rate rise as forward rate,这句话就不满足stable了。因为向上倾斜的收益率曲线隐含,forward curve在spot curve上方,future spot rate只有和现在的spot curve一样才符合策略的前提条件。mock出的不严谨,不用管了。





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