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
bull flattening
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?