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fansen · 2023年08月05日

老师，这里为什么要duration neural？如果不匹配会怎么样

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007501

问题如下：

(1) Select the most appropriate credit portfolio positioning strategy to capitalize on an expected steepening of the investment-grade credit spread curve.

选项：

A.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using contracts of equal notional value.

B.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

C.

Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

解释：

C is correct. The investor benefits from a short risk (as protection buyer) on the 10-year CDX IG index and long risk (as protection seller) on the 5-year CDX IG index, duration matching the notional value by increasing 5-year notional 1.82 times (=8.9/4.9) versus the 10-year.

老师，这里为什么要duration neural？如果不匹配会怎么样

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pzqa31 · 2023年08月08日

嗨，努力学习的PZer你好：


第一，你可以理解为手里没这么多钱，所以需要一个short头寸，可以理解为加杠杆融资。

第二，duration neutral也就是使总体头寸的久期为0，也就是整体头寸不受利率变动的影响，所以说是一种比较保守的做法。

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加油吧，让我们一起遇见更好的自己！

pzqa31 · 2023年08月06日

嗨，爱思考的PZer你好：


一般情况下，yield curve strategy和credit curve strategy都是duration neutral 策略，原因有两个：

一是基金经理有了对外来的预期后，可能没有额外的资金去买债，也不能空仓，所以，只能调整现有的仓位来实现对预期的获利。

二是duration neutral是一个相对保守的做法，一旦判断反了，long only和short only都要承担更多的损失。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

tzdsgn · 2023年08月07日

两条都没看懂。。

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