好好学习1102 · 2023年07月16日
• When the fixed-rate bond is priced at a spread over the benchmark, the coupon income in the roll-down
strategy is higher by the bond's original credit spread.
• The return of price appreciation for the bond will also be higher than the comparable government bond,
since the high-yield bonds will have higher carry over time.
pzqa31 · 2023年07月17日
嗨，努力学习的PZer你好：
• When the fixed-rate bond is priced at a spread over the benchmark, the coupon income in the roll-down strategy is higher by the bond's original credit spread.
当一个固定收益债券的价格与benchmark存在一个利差时,在采用roll-down return策略时，counpon income还是会高出一个原始的信用利差。
我理解他的意思是roll down只是在收益率曲线stable且upward的前提下,随着时间流逝在收益率曲线上不断roll down获得的，并不改变信用利差。
• The return of price appreciation for
the bond will also be higher than the comparable government bond, since the
high-yield bonds will have higher carry over time.
高收益债的价格增长会比可比国债高，因为随着时间流逝，高收益债会有有更高的持有收益。
carry的定义一般就是指持有资产的收益，对债券来讲一般会包括Coupon及持有价差收益。但这个不绝对，因为有些教材会说carry就是coupon利息，ordividend。按照这句话的描述，就要当成价差+Coupon了。这点其实不太要紧，因为一般会说说明carry都包含啥。
----------------------------------------------加油吧，让我们一起遇见更好的自己！
