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徐威廉 · 2021年10月18日

计算具体步骤

NO.PZ2019103001000056

问题如下:

Edgarton evaluates the Fund’s positions from Exhibit 1 along with two of his pro forma portfolios, which are summarized in Exhibit 2:

Edgarton expects a steepening yield curve, with short-term yields rising by 1.00% and long-term yields rising by more than 1.00%.

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

计算具体步骤是什么?

1 个答案
已采纳答案

pzqa015 · 2021年10月19日

嗨,从没放弃的小努力你好:


以portfolio 1为例:

△portfolio1=-1%*0.0020-1%*0.0058-1.25%*0.0095-1.6%*0.0177-1.75%*0.0394=-0.1169%

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