題目 Next, while researching relative value strategies, Mukilteo considers a government bond strategy that involves buying lower-liquidity, off-the-run bonds and selling higher-liquidity, duration-matched, on-the-run bonds.
答案說這用的是carry trade 為什麼credit risk也沒了 沒說兩個credit risk一樣啊
答案
A is correct. Carry trades involve going long a higher-yielding security and shorting a lower-yielding security with the expectation of receiving the positive carry and of profiting on long and short sides of the trade when the temporary relative mispricing reverts to normal. A classic example of a fixed-income arbitrage trade involves buying lower-liquidity, off-the-run government securities and selling higher-liquidity, duration-matched, on-the-run government securities. Interest rate and credit risks are hedged because long and short positions have the same duration and credit exposure. So, the key concern is liquidity risk. Under normal conditions, as time passes, the more (less) expensive on-the-run (off-the-run) securities will decrease (increase) in price as the current on-the-runs are replaced by a more liquid issue of new on-the-run bonds that then become off-the-run bonds.
