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andrew · 2022年01月30日

如题

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000033

问题如下：

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项：

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释：

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

C不是bullish收益率曲线，不是说明经济向好，和B不是一个意思吗？

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1 个答案

pzqa015 · 2022年02月01日

嗨，努力学习的PZer你好：


不是的哈

flight to quality表明预期一段时间内经济将持续变差，市场投资者都追求安全资产（一般是中长期美国国债），都买中长期国债，使得国债价格攀升，中长期收益率下降，甚至超过利率的下降，所以收益率曲线是bullish flatten。

经济向好时，收益率会上涨，而不是下降哈。

这里关于bear/bull flatten、steepen的总结如下哈

bull steepen：表现形式：长短期利率都下降，短期下降幅度更大。出现背景：经济衰退或即将衰退，为刺激经济，货币当局降低基准利率，短期利率下降幅度超过长期利率下降幅度。

bear steepen：表现形式：长短期利率都上涨，长期上涨幅度更大。出现背景：市场对于长期经济增长以及未来通过膨胀有较高的预期，长期利率上涨更多。

bull flatten：表现形式：长短期利率都下降，长期下降幅度更大。出现背景：投资者flight to quality，集中配置安全资产，一般中长期美国国债是全球最安全的资产，所以，中长期美国国债被哄抢，提高了价格，降低了利率，收益率曲线向下且变平。

bear flatten：表现形式：长短期利率都上涨，短期上涨幅度更大。表现形式：经济复苏，通货膨胀率走高，为防止经济过热，货币当局收紧货币政策，短期利率上涨幅度超过长期利率，使得收益率曲线向上且变平。


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