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Cathyzhang · 2021年02月15日

不知道为什么是答案a

NO.PZ2019103001000054

问题如下:

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

Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook:

Scenario 1:Sell all bonds in the Fund except the 2-year and 30-year bonds, and increase positions in these two bonds while keeping duration neutral to the benchmark.

Scenario 2:Construct a condor to benefit from less curvature in the 5-year to 10-year area of the yield curve. The condor will utilize the same 1-year, 5-year, 10-year, and 30-year bonds held in the Fund. The maximum allowable position in the 30-year bond in the condor is $17 million, and the bonds must have equal (absolute value) money duration.

The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:

选项:

A.

flattening yield curve

B.

reduction in yield curve curvature.

C.

100 bps parallel shift downward of the yield curve

解释:

A is correct.

Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly.

不知道为什么是答案a

1 个答案
已采纳答案

发亮_品职助教 · 2021年02月18日

嗨,努力学习的PZer你好:


“不知道为什么是答案a”


他这里是这样,Scenario 1告诉我们,他卖出了组合里面的所有债券,然后只留了2个头寸(2-Year and 30-year),然后卖出其他所有债券之后,继续买入了2-year,30-year,同时还保证了策略前后组合的Duration没有发生变化(Duration neutral to the benchmark)。

Portfolio原来的头寸如表1,是一个权重分散的组合,现在他调整成了2-year、30-year这种Barbell组合。然后让我们判断,是基于什么样的利率预期,他进行了这样的头寸调整。

那其实就是判断,在哪种利率预期下,2-year、30-year这种Barbell组合的收益更高。

首先来判断A选项的Flattening(长期利率相对下降),在这种利率预期下,Barbell组合可以受益,因为长期利率下降,我们有很大一笔权重在30-year上,长期债券价格上升可以受益;Flattening虽然短期利率会相对上升,但是2-year的Duration较小,对组合价值的影响较小,因此总体来说,A选项的收益率曲线Flattening会使得Scenario 1里的组合表现更好。


B选项说的Reduction in yield curve curvature,就是利率曲线变得Less curvature,即中期利率相对下降,长期、短期利率相对上升,那2-year/30-year的这种Barbell显然表现会不好。


C选项说收益率平行下移。如果我们预测利率曲线下移的话,最优的改变方式应该是增加组合的Duration,来获取更高的Capital gain;

而本题Scenario 1的策略他说保证了组合的Duration不发生变化(Duration neutral to the benchmark),显然这种策略并非是C选项平行下移时最优的策略。

由于本题允许组合的Duration偏离Benchmark±0.30,所以如果出现C选项说的平行下移,最优的策略应该是直接增加组合的Duration 0.30。本题Scenario 1里面只是调整了组合的分布,组合的Duration并没有改变。因此选项C的表现也不如选项A。

综上,本题A选项是唯一正确的选项。


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