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Cindy · 2020年06月24日

问一道题:NO.PZ2019103001000051 [ CFA III ]

问题如下:

Silvia Abram and Walter Edgarton are analysts with Cefrino Investments, which sponsors the Cefrino Sovereign Bond Fund (the Fund). Abram and Edgarton recently attended an investment committee meeting where interest rate expectations for the next 12 months were discussed. The Fund’s mandate allows its duration to fluctuate ±0.30 per year from the benchmark duration. The Fund’s duration is currently equal to its benchmark. Although the Fund is presently invested entirely in annual coupon sovereign bonds, its investment policy also allows investments in mortgage-backed securities (MBS) and call options on government bond futures. The Fund’s current holdings of on-the-run bonds are presented in Exhibit 1.

Over the next 12 months, Abram expects a stable yield curve; however, 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 Exhibit 1 and Abram’s expectation for the yield curve over the next 12 months, the strategy most likely to improve the Fund’s return relative to the benchmark is to:





选项:

A.

buy and hold

B.

increase convexity

C.

ride the yield curve

解释:

C is correct.

Since Abram expects the curve to remain stable, the yield curve is upward sloping and the Fund’s duration is neutral to its benchmark. Her best strategy is to ride the yield curve and enhance return by capturing price appreciation as the bonds shorten in maturity.

他预期一年内yield curve稳定的,请问riding the yield curve 不需要买长期吗?这样没有影响吗
1 个答案

发亮_品职助教 · 2020年06月28日

嗨,努力学习的PZer你好:


“他预期一年内yield curve稳定的,请问riding the yield curve 不需要买长期吗?”


做Ride the yield curve就是需要买比投资期限长的债券;

现在的投资期是1年(Over the next 12 month),如果选择Buy-and-hold策略,就是直接买一个一年期债券;

如果是做Riding the yield curve策略,就是买一支期限比1年更长的债券,比如买3年期债券做Riding the yield curve策略(持有1年,债券还剩2年到期时卖出),或者买5年期债券做Riding the yield curve策略(持有1年,债券还有4年到期时卖出);甚至也可以买表里给的10年期债券,30年期债券,都是持有1年、在债券到期前提前卖出。


因为题干有说,The Fund’s mandate allows its duration to fluctuate ±0.30 per year from the benchmark duration. 

这支基金的Duration只允许偏离Benchmark duration正负0.3,这样如果用3年期债券做Riding the yield curve的话,就是卖出一点1年期债券,然后投资一点3年期债券,同时保证让组合的Duration不会偏离Benchmark正负0.3;这样相比投资1年期债券而言,投资3年期债券做Riding the yield curve就会有增强收益。

同理,如果用5年期债券做Riding the yield curve的话,就是卖一点1年期债券,买5年期债券,同时保证让组合的Duration不会偏离Benchmark正负0.3;这样相比投资1年期债券而言,投资5年期债券做Riding the yield curve就会有增强收益。


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