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Shawnxz · 2022年12月13日

为什么对于流动性不好的债券，还要buy-and-hold吗？不应该找机会卖出吗

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

为什么对于流动性不好的债券，还要buy-and-hold吗？不应该找机会卖出吗，越到后面应该流动性更差吧？

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1 个答案

pzqa015 · 2022年12月13日

嗨，努力学习的PZer你好：


流动性不好的债，根本卖不出去，所以索性就不卖了，持有至到期。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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