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和棋 · 2022年01月26日

为什么duration neutual一定要short2年long 10年呢?能反一下吗

NO.PZ2021120102000009

问题如下:

An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?

选项:

A.

Bear flattening

B.

bull flattening

C.

Yield curve inversion

解释:

C is correct. A duration-neutral flattening trade involves a short 2-year bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines.

Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.

The bear steepening in A involves an unchanged 2-year yield-to-maturity with a rise in the 10-year yield-to-maturity, causing a portfolio loss.

The bull flattening in B combines a constant 2-year yield-to-maturity with lower 10-year rates, resulting in a gain on the 10-year bond position and an unchanged 2-year bond position.

为什么duration neutual一定要short2年long 10年呢?能反一下吗

3 个答案

Louisawang · 2024年01月19日

重点应该是题目中的这句话吧?“enters a duration-neutral yield curve flattening trade”,如果是duration-neutral yield curve steepening trade就是反过来的

pzqa015 · 2022年02月19日

嗨,爱思考的PZer你好:


两个short就不能duration neutral了哈,duration neutral要求调仓后portfolio duration不变,那么只能long/short来实现,不能Long only或者short only。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa015 · 2022年01月26日

嗨,从没放弃的小努力你好:


如果是bear flatten,那么长期利率上涨幅度小于短期利率,在duration neutral策略下,应该short 短期,long 长期。

如果是bull flatten,那么短期利率下降幅度小于长期利率,在duration neutrl策略下,也应该short短期,Long长期。

如果是yield curve inversion,那么长期利率下降,短期利率上涨,在duration neutral策略下,也应该short 短期,long 长期。

故三种情况下,都应该short 短期,long长期。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

谢超 · 2022年02月18日

老师,既然已经是bear flatten,为什么一定要short一个long一个呢,两个一起short不是更好么?

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