问题如下:
Sanober Hirji is a junior analyst with Northco Securities, which is based in Canada. The institutional clients of Northco are active investors in Canadian coupon-bearing government bonds. Client portfolios are benchmarked to a Canadian government bond index, which is a diverse maturity index portfolio.
Hirji then considers the scenario where the yield curve will lose curvature for the Malaysian institutional client. She notes that a 7-year Canadian government bond is also available in the market. Hirji proposes a duration-neutral portfolio comprised of 47% in 5-year bonds and 53% in 7-year bonds.
Relative to the Canadian government bond index, the portfolio that Hirji proposes for the Malaysian client will most likely:
选项:
A.underperform.
remain stable.
outperform.
解释:
C is correct.
Hirji proposes an extreme bullet portfolio focusing on the middle of the yield curve. If the forecast is correct and the yield curve loses curvature, the rates at either end of the curve will rise or the intermediate yields will drop. As a result, bonds at the ends of the yield curve will lose value or the intermediate bonds will increase in value. In either case, the bullet portfolio will outperform relative to a more diverse maturity index portfolio like the benchmark.
这道题意思是说loss curvature的话,5年和7年的利率都降低,但因为7年duration高,所以利率降低带来的price上升的影响更明显,所以应该7年多投些吗?