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胖干儿 · 2024年01月13日

这题为什么选C不选B呢？B和C不是同一个意思吗？

  1. CFA III
  2. Fixed Income

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NO.PZ202112010200000104

问题如下：

In her market research, the manager learns that ASX 3-year and 10-year Treasury bond futures are the most liquid products for investors trading and hedging medium- to long-term Australian dollar (AUD) interest rates.

Although neither contract matches the exact characteristics of the cash bonds of her choice, which of the following additions to a barbell portfolio best positions her to gain under a bull flattening scenario?

选项：

A.

Purchase a 3-year Treasury bond future matching the money duration of the short-term (2-year) position.

B.

Sell a 3-year Treasury bond future matching the money duration of the short-term bond position.

C.

Purchase a 10-year Treasury bond future matching the money duration of the long-term bond position.

解释：

C is correct.

A bull flattening is a decrease in the yield spread between long and short-term maturities driven by lower long-term yields-to-maturity.

Both A and B involve changes in portfolio exposure to short-term rates, while C increases the portfolio exposure to long-term rates to benefit from a fall in long-term yields-to-maturity.

这题我做对了，但是在b和c里纠结了一下，最后觉得c更合适（其实我不明白为什么C更合适）

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已采纳答案

pzqa015 · 2024年01月14日

嗨，努力学习的PZer你好：


barbell由短期和长期组成，虽然短期和长期都有久期，但相对于长期，短期的久期更小，甚至可以忽略

所以，收益最大的策略肯定是对长期的money duration

C就是用10年future改变barbell中的长期money duration

B是用3年期future改变barbell中的短期money duration.

虽然B也可以盈利，但肯定没有C的盈利多。

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胖干儿 · 2024年01月14日

原来如此，谢谢！

pzqa015 · 2024年01月14日

嗨，爱思考的PZer你好：


加油

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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