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
reduction in yield curve curvature.
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?