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我是一条鱼 · 2022年04月15日

为什么是经济变差

  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.

经济变差，对于HY来说CREDIT PREMIUM上升，那么价格更低了。为什么经济变差，HY与IG的价格差异会缩小呢。谢谢

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3 个答案

pzqa015 · 2022年11月06日

嗨，爱思考的PZer你好：


如果是经济变好，HYB的违约风险更小，相对于IG，投资者会倾向于选择HYB来获取超额收益。 经济变差，HYB的违约风险很大，相对于HYB，投资者更倾向于选择信用质量更高的IG来避险。 那么B选项经济变差的概率变小，也就是经济在变好，如果投资high yield portlio那么收益率应该比investment grade holdings差才对，为什么B不对

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经济编号，投资HYB可以获得超额收益，所以，是收益率更高，而不是HYB收益率比IG差，所以B不对。

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pzqa015 · 2022年04月17日

嗨，爱思考的PZer你好：


经济变好，HYB的违约风险更小，相对于IG，投资者会倾向于选择HYB来获取超额收益。

经济变差，HYB的违约风险很大，相对于HYB，投资者更倾向于选择信用质量更高的IG来避险。

所以，经济好时，HYB相对于IG的价值更高；经济差时，HYB相对于IG的价值更低。

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今天也要摸鱼 · 2022年11月06日

如果是经济变好，HYB的违约风险更小，相对于IG，投资者会倾向于选择HYB来获取超额收益。 经济变差，HYB的违约风险很大，相对于HYB，投资者更倾向于选择信用质量更高的IG来避险。 那么B选项经济变差的概率变小，也就是经济在变好，如果投资high yield portlio那么收益率应该比investment grade holdings差才对，为什么B不对

pzqa015 · 2022年04月15日

嗨，努力学习的PZer你好：


HY的投资者只看债券价格，不会看credit premium。

经济变差时，HY的违约风险更大，所以没有人会买。经济变好时，HY的违约可能更小，相对于IG，更有投资价值。

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