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moon · 2022年02月10日

问题

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.

选项C:yield curve inversion,收益率曲线变inverted,即,短期利率大于长期利率,收益率曲线向下倾斜,这说明短期利率上涨很多,长期利率下降很多,二者变化方向相反,short 2年期与Long 10年期都可以获利,所以如果收益率曲线发生这种变动,short 2Y,long 10Y的收益是最大的。



为什么当利率反向变动时候,收益最大?long和short都可以获益?

3 个答案
已采纳答案

pzqa015 · 2022年02月10日

嗨,努力学习的PZer你好:


首先,利率上涨,只有short duration才能获利,如果Long一个,short一个,比如long 长期(会有亏损),short短期(会有盈利),那么轧差后的净利润即使为正,肯定也是小于short 长期(会有盈利),short短期(会有盈利)带来的净利润。这点同学能理解吧。

如果理解了这一点,我们来看A与B

A是bear flatten,长短期都上涨,长期上涨幅度小于短期上涨幅度,此时,我们short短期可以获利,long长期是有亏损的,但short 短期+Long长期整体是盈利的,这就达到了利用收益率曲线的预期来做主动管理的目的,一long一short可以不花一分钱,但是获得大于0的净利润。

B是bull flatten,也是同样的道理。

C是inverted,短期上涨,长期下跌。短期上涨,我们short短期,长期下跌,我们long短期,两个头寸都是盈利的,加总起来后的利润肯定是最大的。

所以,当收益率反向变动的时候,short短期,long长期获益最大。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa015 · 2022年02月27日

嗨,爱思考的PZer你好:


long-short实现的就是duration neutral。

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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02月10日

嗨,爱思考的PZer你好:


首先,利率上涨,只有short duration才能获利,如果Long一个,short一个,比如long 长期(会有亏损),short短期(会有盈利),那么轧差后的净利润即使为正,肯定也是小于short 长期(会有盈利),short短期(会有盈利)带来的净利润。这点同学能理解吧。

如果理解了这一点,我们来看A与B

A是bear flatten,长短期都上涨,长期上涨幅度小于短期上涨幅度,此时,我们short短期可以获利,long长期是有亏损的,但short 短期+Long长期整体是盈利的,这就达到了利用收益率曲线的预期来做主动管理的目的,一long一short可以不花一分钱,但是获得大于0的净利润。

B是bull flatten,也是同样的道理。

C是inverted,短期上涨,长期下跌。短期上涨,我们short短期,长期下跌,我们long短期,两个头寸都是盈利的,加总起来后的利润肯定是最大的。

所以,当收益率反向变动的时候,short短期,long长期获益最大。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

薪伊 · 2022年02月27日

这道题中并没有提到利率上涨,也没有说要short duration呀?不是要duration-neutral吗?

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