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一只可爱的猪 · 2021年11月15日

No.PZ2021052101000046 这道题目的答案是否有问题

No.PZ2021052101000046 

这道题目的答案是否有问题

(1) The table below shows the structural of 3 different portfolios. According to the curve expectations, which of the following portfolio will have the highest expected return, and justify your response.



(2) Suppose portfolio A has an average maturity of 10 years. Portfolio B has an average maturity of 7 years, and portfolio C has an average maturity of 5 years.

The current yield curve is upward sloping, and the 7-year to 10-year is the steepest part of the yield curve. The fund manager expects the yield curve will remain stable over the next 2 years. The managers want to build a riding the yield curve strategy. According to the information above, which portfolio is the best one to achieve the strategy.

我的答案是:

portfolio C has the highest expected return since the 1y interest rate is 0% and the 10y interest rate is 50%, which has a largest spread.

portfolio A is the best to achieve the strategy, it has a longer maturity and the 7-year to 10-year is the steepest part of the yield curve. portfolio A has an average maturity of 10 years, which can reduce the initial cash outlay and reaches the highest return.

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已采纳答案

pzqa015 · 2021年11月15日

嗨,爱思考的PZer你好:


这道题出的并不好

portfolio C 10年期和15年期的债券合计占比100%,怎么能得出average maturity是5年呢?

下面说说我的思路吧

题目说7年期到10年期利率最陡,且收益率曲线不变,做两年期riding the yield curve,那么应该选择9年或10年期的portfolio,在2年后卖出,这样充分利用收益率曲线陡峭的部分,获得最大的roll down return,题目没有9年期portfolio,所以只能选择10年期portfolio。

这道题不是典型的riding the yield curve的考法,同学不必纠结,掌握住:收益率曲线越陡峭,riding the yield curve最高这个结论吧。


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