开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

saturn44 · 2022年04月27日

liquidity management


 这道题A和B如何思考, recession的时候,不应该liquidity management更重要,而不是考虑alpha; spread change对investment-grade bond 影响更大吗?

1.   Stone’s comments to West regarding liquidity risk in credit markets is most likely correct with regard to:

A.  spread changes.

B.   liquidity management.

C.  bid–ask spreads.

原文:

West is concerned about liquidity risk in the credit markets. She believes that since the Great Recession, liquidity has declined, and she asks Stone for his opinion on the topic. Stone replies, “First, trading volume has declined across credit markets, even for higher-quality sectors. As a result, liquidity management has become less relevant to portfolio managers as a means of adding alpha to portfolios. Second, spread changes are more pronounced during times of outflows in high-yield markets relative to investment-grade markets, particularly during times of stress. Therefore, macro forecasting of the economic and credit cycle would aid in positioning the portfolio to compensate for liquidity risk. Third, bid–ask spreads can vary over time and are a good indicator of liquidity. Wider bid–ask spreads in a market downturn create opportunities for portfolio managers to add value to portfolios.”


A is correct. Liquidity management has become more relevant in generating alpha for portfolios since the financial crisis. Stone’s second point regarding spread changes relates to outflows, and its implications for portfolio management are correct. His third point is correct with regard to bid–ask spreads varying over time and being a good indicator of liquidity but is incorrect about bid–ask spreads benefiting portfolio managers, because trading costs are higher. More volatile market conditions often have a negative effect on bid–ask spreads, and therefore, trading costs can detract from portfolio performance.

 

1 个答案
已采纳答案

pzqa015 · 2022年04月28日

嗨,从没放弃的小努力你好:


A选项对应的是第二句话:在市场资金流出时,HYB的spread比IG的spread变化更明显,尤其是经济衰退时,这是没问题的。经济衰退时,IG的Protection效果更好,所以,投资者会纷纷抛售HYB,买入IG,导致HYB的价格下跌,spread变大。

B选项对应的第一句话,是错误的,经济衰退时,liquidity management 是more relevant而不是less relevant

C选项对应的第三句话,也是错误的,bid ask spread变大时,买卖成本变大,不是add value的好时机。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 372

    浏览
相关问题