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Yujie · 2022年03月08日

没明白这道题目，请老师详细讲一下，谢谢

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000103

问题如下：

Assume the manager is able to extend her mandate by adding derivatives strategies to the three portfolio alternatives.

The best way to position her portfolio to benefit from a bear flattening scenario is to combine a:

选项：

A.

2-year receive-fixed Australian dollar (AUD) swap with the same money duration as the bullet portfolio.

B.

2-year pay-fixed AUD swap with twice the money duration as the 2-year government bond in the barbell portfolio.

C.

9-year receive-fixed AUD swap with twice the money duration as the 9-year government bond position in the equally weighted portfolio.

解释：

B is correct. A bear flattening scenario is a decrease in the yield spread between long- and short-term maturities driven by higher short-term rates. The manager must therefore position her portfolio to benefit from rising short-term yields.

Under A, the receive-fixed 2-year swap is a synthetic long position, increasing portfolio duration that will result in an MTM loss under bear flattening. The receive-fixed swap in answer C will increase duration in long-term maturities.
In the case of B, the pay-fixed swap with twice the money duration of the barbell will more than offset the existing long position, resulting in net short 2-year and long 9-year bond positions in the overall portfolio and a gain under bear flattening.

没明白这道题目，请老师详细讲一下，谢谢

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2 个答案

pzqa015 · 2022年05月24日

嗨，爱思考的PZer你好：


题目有句话：by adding derivatives strategies to the three portfolio alternatives

要在三个Portfolio基础上来用derivative构建新的组合，所以三个选项是在三个portfolio基础上的。

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pzqa015 · 2022年03月10日

嗨，从没放弃的小努力你好：


本题考察收益率曲线变动下的主动管理策略：

在duration neutral策略下：

如果预期收益率曲线bear flatten，则短期上涨多，长期上涨少，我们应该short短期，long长期；

如果预期收益率曲线bull flatten，则短期下降少，长期下降多，我们应该short 短期，long长期；

如果预期收益率曲线bear steepen，则短期上涨少，长期上涨多，我们应该long 短期，short 长期；

如果预期收益率曲线bull steepen，则短期下降多，长期下降少，我们应该long 短期，short长期。

在更加激进的策略下：

如果预期收益率曲线bear flatten，我们应该多short短期，少long长期，让portfolio duration变小。

如果预期收益率曲线bull flatten，我们应该少short 短期，多long长期，让portfolio duration变大。

如果预期收益率曲线bear steepen，我们应该少long 短期，多short 长期，让portfolio duration变小。

如果预期收益率曲线bull steepen，我们应该多long 短期，少short长期，让portfolio duration变大。


本题说bear flatten，所以应该是short 2年期，Long9年期，同时，由于收益率曲线向上，应该让Portfolio duration下降才会收益最大化，也就是最好多short 2年期，少long 9年期。

A选项，在bullet portfolio基础上long 2year receive fixed swap，增加了2年期duration，不正确。

B选项，在barbell portfolio基础上，long 2倍于现有barbell中2年期国债的2年期pay fixed swap，降低了2年期duration，正确。

C选项，在equally portfolio基础上，long2倍于现有9年期国债的9年期receive fixed swap，增加了9年期duration，与前面说的少long 9年期的策略不符，不正确。

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徐威廉 · 2022年05月24日

bear flatten 我可以理解， 在这种情况下short 短期 long长期才有收益我也可以理解。但是这三个选项什么是在bullet/barbell/equal portfolio基础上？这是什么意思？

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