NO.PZ201812020100000806
问题如下:
Based on Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations?
选项:
A.Current Portfolio
B.Pro Forma Portfolio 1
C.Pro Forma Portfolio 2
解释:
C is correct.
Given Edgarton’s expectation for a steepening yield curve, the best strategy is to shorten the portfolio duration by more heavily weighting shorter maturities. Pro Forma Portfolio 2 shows greater partial duration in the 1- and 3-year maturities relative to the current portfolio and the least combined exposure in the 10- and 30-year maturities of the three portfolios. The predicted change is calculated as follows:
Predicted change = Portfolio par amount × partial PVBP × (curve shift in bps)/100
老师这道题是针对利率曲线steepen的情况,按说这种情况不是应该使用bullet吗?可为什么经过计算以后bullet的portfolio 1 还不如portfolio2呢