问一道题：NO.PZ201702190100000101

问题如下：

1.If Montes is expecting a 50 bp increase in yields at all points along the yield curve, which of the following trades is he most likely to execute to minimize his risk?

选项：

Sell $35 million of P2 and reinvest the proceeds in three-year bonds

Sell $15 million of P2 and reinvest the proceeds in three-year bonds.

Reduce the duration of P2 to 10 years and reduce the duration of P₁ to 3 years

解释：

B is correct.

Duration is a measure of interest rate risk. To reduce risk in anticipation of an increase in interest rates, Montes would seek to shorten the portfolio’s duration. He is limited, however, in the amount he can shift from P2 to P1. Selling $15 million of P2 reduces that portfolio to the lower end of the permitted 40% to 60% range. By reinvesting the proceeds at the shortest maturities allowed, Montes substantially reduces the portfolio duration.

考点：Sensitivity and Scenario Measures（结合固收）

解析： 50 bp的利率增加带来了利率风险，利率风险通过duration来衡量。因此目标是减小duration，所以要尽可能地买短期的债券组合。 又因为题干要求 remain fully invested at all times，所以买短期债券组合P1的同时，必须卖出相同金额的长期债券组合P2。

由于题干中给出，基金经理的自主支配权为40%-60%的权重，目前债券的市场价值为50.3+58.7=109m，所以P2至少要持有109*40%=43.6m，那也就是最多卖58.7-43.6=15.1m。因此只有B选项是正确的。