问题如下:
Relative to the Canadian government bond index, the portfolio that Hirji proposes for the Malaysian client will most likely:
选项:
A.underperform.
B.remain stable.
C.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.
5年期和7年期的债券组成 duration-neutral 的组合,需要 long 一个,同时 short 另一个。题目中说收益率曲线会 less curvature,那么可以理解为中期收益率下降更多,即5年期和7年期收益率都有所下降,但是这个头寸又是一个long一个short,那么如何判断组合的收益变化?