NO.PZ201812020100000804
问题如下:
The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:
选项:
A.flattening yield curve.
B.reduction in yield curve curvature.
C.100 bps parallel shift downward of the yield curve.
解释:
A is correct.
Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly
Scenario 1: Sell all bonds in the Fund except the 2-year and 30-year bonds and increase positions in these two bonds while keeping duration neutral to the benchmark.
在保持duration neutral的情况下,short掉了组合里除短期与长期以外的所有债券(那就是中期债券咯),然后继续long短期与长期债券,这不是一个非常典型的 condor吗?
我的理解是,因为这道题的选项里没有"increase in yield curve curvature",所以让"flattening yield curve"这个选项小人得志了。
更确切的结论是,barbell结构,在slope的falttening 与curvature的increase这两种情形下都是受益的。所以那位主管的预期应该包含两种情形,只不过选项只给出了一种而已。
不知道理解对不对,希望老师批评指正 ,谢谢