NO.PZ2019103001000056
问题如下:
Edgarton evaluates the Fund’s positions from Exhibit 1 along with two of his pro forma portfolios, which are summarized in Exhibit 2:
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 Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations?
选项:
A.Current Portfolio
Pro Forma Portfolio 1
Pro Forma Portfolio 2
解释:
C is correct.
Given Edgarton’s expectation for a steepening yield curve, the best strategy is to shorten the portfolio duration by more heavily weighting shorter maturities. Pro Forma Portfolio 2 shows greater partial duration in the 1- and 3-year maturities relative to the current portfolio and the least combined exposure in the 10- and 30-year maturities of the three portfolios. The predicted change is calculated as follows:
Predicted change = Portfolio par amount × partial PVBP × (-curve shift in bps)/100
三个portfolio在不同期限债券的pvbp已经告诉,债券对应的MV也告诉了,portfolio的变化=pvbp*MV*变动的bp。其中MV相同,各期限的pvbp不同,又告诉短期和长期的收益率变动不同,不能得出准确结果。特别是不能只看三个portfolio的中30年期限的债券,因为current portfolio和portfolio2的pvbp相等。因此答案应该是无法判断。