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Rayhan · 2020年02月03日

问一道题:NO.PZ2019103001000054

问题如下:

Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook:

Scenario 1:Sell all bonds in the Fund except the 2-year and 30-year bonds, and increase positions in these two bonds while keeping duration neutral to the benchmark.

Scenario 2:Construct a condor to benefit from less curvature in the 5-year to 10-year area of the yield curve. The condor will utilize the same 1-year, 5-year, 10-year, and 30-year bonds held in the Fund. The maximum allowable position in the 30-year bond in the condor is $17 million, and the bonds must have equal (absolute value) money duration.

The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:

选项:

A.

flattening yield curve

B.

reduction in yield curve curvature.

C.

100 bps parallel shift downward of the yield curve

解释:

A is correct.

Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.

请问:我理解的收益率曲线走平,意思是中期相对于长短期走低,那么相对受益的是中期,相对跑输的是长短期。我不明白为什么还要进一步减持中期,增持长短期?

1 个答案
已采纳答案

发亮_品职助教 · 2020年02月04日

嗨,从没放弃的小努力你好:


"请问:我理解的收益率曲线走平,意思是中期相对于长短期走低,那么相对受益的是中期,相对跑输的是长短期。"


这里是这样,如果说收益率曲线Steepening or Flattening时,我们把收益率曲线分成两段:

短期与长期;因为说陡峭、或者平缓,是长期与短期之间的相对变化。


如果说收益率曲线是More curvature,或者Less curvature,形容收益率曲线的弯曲程度时,我们把收益率曲线分成三段:

短期、中期、长期;因为Curvature描述的是中期相对于长、短期的变化。

同时在Curvature的变化中,短期和长期的变动方向是一致的,中期与短期、长期的变动方向相反。



在Scenario 1中,他是卖掉了其他所有期限的债券,只保留了2-year/30-year;能受益的收益率曲线变化是长期利率降低,这样30-year的债券价格上升获得Capital gain;

同时买入2-year bond的原因是,我们买入了30年期债券,会大幅增加组合的Duration数据,这时候买入一部分2-year的债券,来降低整个Portfolio的Duration。

注意看题干:while keeping duration neutral to the benchmark.

原来的Portfolio,他的Duration是和Benchmark匹配的,题干这里说执行策略之后,仍然要保持组合的Duration和Benchmark匹配(keeping duration neutral to the benchmark),所以卖掉组合里的其他债券,只买入30年期的,就会大幅增加组合的Duration,此时,我们还需要买一部分2-year的债券来拉低组合的平均Duration数据,使得组合的Duration数据仍然与Benchmark相等。


在3个选项中,这种策略只能受益于A选项。

这道题是一道原版书Case题,在主题干部分知道原来的Portfolio是和Benchmark匹配的,并且原来Portfolio里债券的期限分布是很广的,这时把原来的Portfolio调整成只有2-year和30-year的组合,并且保持调整前后Duration不变,这个策略还可以看成是:把原来的Portfolio调整成了Barbell型。

在Duration一致的情况下,Barbell型Portfolio的Convexity最大,于是这个策略还能受益于收益率曲线Volatility变大的情况。


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