开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

一只可爱的猪 · 2021年04月28日

辛苦老师

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

NO.PZ201512181000007205

问题如下：

Based only on Exhibits 2 and 3, it is most likely that under:

选项：

A.

Scenario 1, Bond 2 outperforms Bond 1

B.

Scenario 2, Bond 1 underperforms Bond 3.

C.

Scenario 3, Bond 3 is the best performing security

解释：

C is correct. The change in value of a bond is inversely related to a change in yield. Given a bond priced at B with duration D and yield change of Δy, the rate of return or percentage price change for the bond is approximately given as follows: ΔB/B ≈ -DΔy/(1 + y). Under Scenario 3, interest rates decrease by 20 bps. In an environment of decreasing interest rates, the bond with the highest duration will have the greatest positive return. Bond 3 has a duration of 10.2, which is greater than that of both Bond 1 (duration = 1.3) and Bond 2 (duration = 3.7).

老师，可以把这几个公式给我们呈现一下吗？既然我们都问了，就辛苦老师了！麻烦不要只回答，叫我们去 固收看，好吗！拜托了！求知若渴

添加评论
1 个答案

星星_品职助教 · 2021年04月28日

同学你好，

这道题并不需要用到公式。从定义出发即可。（modified）duration衡量的是利率变化1%，价格反向变化百分之几。当利率变化都相同的时候，duration大的债券价格变化的多。（由于利率变化是相同的，此时macaulay duration和modified duration一致，不需要区分）

所以在scenario 1中，利率上升价格下降，此时duration更大的bond 2表现差；scenario 2中，利率上升价格下降，此时duration更大的bond 3表现差；所以A，B对应的scenario里的描述都反了。

只有在scenario 3里，利率下降，价格上升，此时duration大的bond 3表现最好，描述正确。

------

duration的公式是在固收中讲的，组合中并没有这个公式和相关考点。组合中的这个考点是在了解duration的前提下，对其作为risk measure的应用进行讨论。

这章的其他risk measure如β，delta/gamma的处理也如此。组合里只是应用，具体的概念的学习要在相应科目中进行。

从考试的角度出发，这种内容基本上不可能在组合科目里考察，也是在相关的科目中考察。

所以这个小节习题的处理方式是学完了相应的risk measure后，再回来做这些题目。

  • 1

    回答

  • 2

    关注

  • 563

    浏览
相关问题

NO.PZ201512181000007205 问题如下 Baseonly on Exhibits 2 an3, it is most likely thunr: A.Scenario 1, Bon2 outperforms Bon1 B.Scenario 2, Bon1 unrperforms Bon3. C.Scenario 3, Bon3 is the best performing security C is correct. The change in value of a bonis inversely relateto a change in yiel Given a bonpriceB with ration anyielchange of Δy, the rate of return or percentage prichange for the bonis approximately given follows: ΔB/B ≈ -y/(1 + y). Unr Scenario 3, interest rates crease 20 bps. In environment of creasing interest rates, the bonwith the highest ration will have the greatest positive return. Bon3 ha ration of 10.2, whiis greater ththof both Bon1 (ration = 1.3) anBon2 (ration = 3.7). Baseonly on Exhibits 2 an3, it is most likely thunr:A.Scenario 1, Bon2 outperforms Bon1B.Scenario 2, Bon1 unrperforms Bon3.C.Scenario 3, Bon3 is the best performing security

2023-05-04 11:15 2 · 回答

NO.PZ201512181000007205 问题如下 Baseonly on Exhibits 2 an3, it is most likely thunr: A.Scenario 1, Bon2 outperforms Bon1 B.Scenario 2, Bon1 unrperforms Bon3. C.Scenario 3, Bon3 is the best performing security C is correct. The change in value of a bonis inversely relateto a change in yiel Given a bonpriceB with ration anyielchange of Δy, the rate of return or percentage prichange for the bonis approximately given follows: ΔB/B ≈ -y/(1 + y). Unr Scenario 3, interest rates crease 20 bps. In environment of creasing interest rates, the bonwith the highest ration will have the greatest positive return. Bon3 ha ration of 10.2, whiis greater ththof both Bon1 (ration = 1.3) anBon2 (ration = 3.7). 你好小助手，这道题我做对了，但我的思路是这样的在场景1和2里，利率都上升了，代表yielcurve inverte，那么持有长期的bon益率就会低。 在场景3里，利率下降了，代表yielcurve 是upwar， 那么持有长期就盈利更多，所以bon3会outperform. 我这样理解这个题，对吗？

2022-08-19 00:48 3 · 回答

NO.PZ201512181000007205问题如下Baseonly on Exhibits 2 an3, it is most likely thunr: A.Scenario 1, Bon2 outperforms Bon1 B.Scenario 2, Bon1 unrperforms Bon3. C.Scenario 3, Bon3 is the best performing security C is correct. The change in value of a bonis inversely relateto a change in yiel Given a bonpriceB with ration anyielchange of Δy, the rate of return or percentage prichange for the bonis approximately given follows: ΔB/B ≈ -y/(1 + y). Unr Scenario 3, interest rates crease 20 bps. In environment of creasing interest rates, the bonwith the highest ration will have the greatest positive return. Bon3 ha ration of 10.2, whiis greater ththof both Bon1 (ration = 1.3) anBon2 (ration = 3.7). 老师， 话说能不能一下c 为什么正确。 另外，想确认一下 对于a 和b的理解，就是ration 是衡量1单位利率变动下的 对价格的影响，利率变动和价格变动是negative 的的关系，所以，其实就是ration 越大价格变动的越多，债券的抗风险能力越差。 所以 无论是那种 scenario 都是 1 outperform 2, an2 outperform 3. 是这样子嘛？

2022-08-07 12:10 1 · 回答

NO.PZ201512181000007205 这题我通过计算 (-lta y)能选出正确答案，还是需要通过lta P/P这个思路才对？

2021-10-03 07:19 1 · 回答