NO.PZ2018120301000044
问题如下:
Li is a portfolio manager who manages a large fund. The mandate of the fund allows it to purchase options but does not allow it to write options. The information about the portfolio’s current on-the-run position is shown below:
Li expects that over the next 12-month, the yield curve will remain stable. According to the information above, which of the following strategies will earn the highest return relative to the portfolio’s benchmark?
选项:
A. Buy and hold
B. Buy short-term at-the money options on long-term bond futures
C. Riding the yield curve.
解释:
C is correct.
考点:Stable yield curve对应合适的策略
解析:从当前On-the-run债券的收益率曲线可以看出,当前状态下,yield curve是upward sloping的,并且Li预测,这个yield curve会是Stable的,持续至未来12个月。则已知这两个条件下,合适的策略是Riding the yield curve. 对于B选项,是购买期限较短(时间价值较小)、ATM的期权,期权的标的物是Long-term bond的期货合约,这样的期权其Convexity较大,因此B选项是增加了整个Portfolio的 Convexity;由于预测的是Stable的yield curve,可知B选项的策略无法增强收益。
请问为什么buy option on LT bond futures会增加convexity?