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little_back · 2021年08月12日

请问老师, a barbell structure是什么方法?

NO.PZ2019103001000037

问题如下:

Amy McLaughlin is a fixed-income portfolio manager at UK-based Delphi Investments. One year ago, given her expectations of a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping, McLaughlin elected to position her portfolio solely in 20-year US Treasury bonds with a coupon rate of 4% and a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629. McLaughlin expected the US dollar to depreciate relative to the British pound by 1.50% during the year. McLaughlin chose the 20-year Treasury bonds because they were on the steepest part of the yield curve.

The portfolio strategy implemented by McLaughlin last year is mostly likely to be described as:

选项:

A.

a carry trade

B.

a barbell structure

C.

riding the yield curve

解释:

C is correct.

Last year, McLaughlin expected the yield curve to be stable over the year. Riding the yield curve is a strategy based on the premise that, as a bond ages, it will decline in yield if the yield curve is upward sloping. This is known as “roll down”; that is, the bond rolls down the (static) curve. Riding the yield curve differs from buy and hold in that the manager is expecting to add to returns by selling the security at a lower yield at the horizon. This strategy may be particularly effective if the portfolio manager targets portions of the yield curve that are relatively steep and where price appreciation resulting from the bond’s migration to maturity can be significant. McLaughlin elected to position her portfolio solely in 20-year Treasury bonds, which reflect the steepest part of the yield curve, with the expectation of selling the bonds in one year

请问老师, a barbell structure是什么方法?

1 个答案

pzqa015 · 2021年08月13日

嗨,爱思考的PZer你好:


同学你好,就是构建barbell portfolio的方法。

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