问题如下:
Edgarton evaluates the Fund’s positions from Exhibit 1 along with two of his pro forma portfolios, which are summarized in Exhibit 2:
Edgarton expects a steepening yield curve, with short-term yields rising by 1.00% and long-term yields rising by more than 1.00%.
Based on Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations?
选项:
A.Current Portfolio
Pro Forma Portfolio 1
Pro Forma Portfolio 2
解释:
C is correct.
Given Edgarton’s expectation for a steepening yield curve, the best strategy is to shorten the portfolio duration by more heavily weighting shorter maturities. Pro Forma Portfolio 2 shows greater partial duration in the 1- and 3-year maturities relative to the current portfolio and the least combined exposure in the 10- and 30-year maturities of the three portfolios. The predicted change is calculated as follows:
Predicted change = Portfolio par amount × partial PVBP × (-curve shift in bps)/100
是否可以直接计算用最长端利率除以最短端利率,假设两点之间连线,除出来之后斜率最小的那个,也就是最 Flatten,受Interest Rate上涨影响最小,选出来正确答案