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.
老師
這題會什麼要講duration neutral,久期中性除了是讓債券在收益率曲線瓶型移動不被影響之外,有沒有另一個意思就是買的一個三年債券就要賣一個三年債券讓整個組合duration不變?還是說是Money duration 相等? 突然搞混了 謝謝