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Figure 20.1 based on CFA Exhibits 18 and 19
Assume Yield Curve is Unchanged
Under this assumption and a 1-year holding period, the 5-year bond is the best performing asset with a projected return of 3.64%. This is based on the assumption that in one year, when it is a 4-year bond, it will trade at a yield of 2.5%.
Notes中只选取有了Maturity 1year~5year的bond数据,故选择HPR最高的五年债券可以理解,但上述标蓝的理由并没有很能理解。2.5%是表中4年期债券的coupon rate,是否意味着这个假设前提是一年后,还剩四年的这支债券的价格会回到100?烦请帮忙解释一下这里的思路,谢谢。