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山风泽笑 · 2021年08月13日

没理解这道题的题意?

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NO.PZ201812020100000603

问题如下:

Using the yield curve forecast shown in Exhibit 1, which portfolio strategy should Donaldson recommend for the year ahead?

选项:

A.

The bullet portfolio

B.

The barbell portfolio

C.

The laddered portfolio

解释:

B is correct.

McLaughlin expects the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged, which implies that the yield curve will increase its curvature, pinned at the 30-year yield, as shown in Exhibit 1. The barbell portfolio, consisting of 2-year and 30-year bonds, would be expected to perform best. Although the two-year rate is expected to increase, the effective duration of two-year bonds is quite small, resulting in minimal price impact. Similarly, the 30-year yield is expected to remain constant, resulting in minimal price impact as well. Relative to the barbell portfolio, the laddered portfolio has greater exposure to the expected increases in the 5-year and 10-year yields, and the bullet portfolio has greater exposure to the expected increase in the 10-year yield. Therefore, the barbell portfolio would be expected to perform best given McLaughlin’s interest rate expectations.

这道题的考点是什么,之前解释里为何要计算Duration,如何计算Duration的?

1 个答案

pzqa015 · 2021年08月14日

嗨,从没放弃的小努力你好:


同学你好

这道题的考点是收益率曲线变动下的策略。

从Exhibit1可以看出,收益率曲线的2Y与30Y变化相对较小,而5Y、10Y相对变化较大。这是典型的more curvature。

如果某个时间点收益上升,我们要降低这点的BPV,收益率曲线下降,增加这一点的BPV。

BPV=-mod D(或者effective D)*MV(或者P)*1bp,在BPV的公式中,mod D是客观的,由债券期限决定的,比如,与10Y、30Y相比,2Y的mod D(或者说effective D)就可以认为是忽略不计的,这就是解析中"Although the two year rate is expected to increase,the effective duration of two year bonds is quite small”这句话所表达的意思,所以,我们不用计算effective duration,而是根据债券期限做一个粗略的判断。

MV是主观的,是我们可以改变的,如果预期收益率曲线上升,那么我们降低MV(或者说P),可以实现降低BPV的目的;如果预期收益率曲线下降,那么我们增加MV或者说P,可以实现增加BPV的目的,这个过程就是yield curve的主动管理。


本题5Y与10Y的收益曲线上升,所以我们应该降低这两点的BPV,通过降低MV来实现,2Y与30Y的收益率几乎未发生变化,所以增加这两点的BPV,通过增加MV实现。增加portfolio中2Y、30Y现金流的比重(增加MV),降低portfolio中5Y、10Y现金流的比重(减少MV),构建的就是barbell portfolio。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!