问题如下:
2. In presenting Investment 1, using Shire Gate Advisers’ interest rate outlook, Smith could show that riding the yield curve provides a total return that is most likely:
选项:
A.lower than the return on a maturity-matching strategy.
B.equal to the return on a maturity-matching strategy.
C.higher than the return on a maturity-matching strategy.
解释:
C is correct.
When the spot curve is upward sloping and its level and shape are expected to remain constant over an investment horizon (Shire Gate Advisers’ view), buying bonds with a maturity longer than the investment horizon (i.e., riding the yield curve) will provide a total return greater than the return on a maturity-matching strategy.
我觉得这道题和上课讲的例题原理是不一样的。
上课讲的题,是把 A.投资期 5 年,持有 5 年,和 B. 投资期 30 年,持有 5 年对比,这样riding the yield curve 就有更多收益
这道题是,把 A.投资期 2 年,持有 2 年,和 B. 投资期 2 年,持有 1 年对比.投资期其实是一样长的,根据无套利原理,其实这种情况下 riding the yield curve 和 matching-maturity 收益应该是一样的。
所以这道题应该选 B 不是吗