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小米米兔 · 2024年01月19日

就是因为有个single,所以是麦考利?

NO.PZ2022122601000022

问题如下:

Martin asks the fixed-income portfolio manager to review the foundation’s bond portfolios. The existing aggregate bond portfolio is broadly diversified in domestic and international developed markets. The first segment of the portfolio to be reviewed is the domestic sovereign portfolio. The bond manager notes that there is a market consensus that the domestic yield curve will likely experience a single 20 bp increase in the near term as a result of monetary tightening and then remain relatively flat and stable for the next three years. Martin then reviews duration and yield measures for the short-term domestic sovereign bond portfolio in Exhibit 2.


Based on Exhibit 2 and the anticipated effects of the monetary policy change, the expected annual return over a three-year investment horizon will most likely be:



选项:

A.lower than 2.00% B.approximately equal to 2.00% C.greater than 2.00%

解释:

Correct Answer: B

If the investment horizon equals the (Macaulay) duration of the portfolio, the capital loss created by the increase in yields and the reinvestment effects (gains) will roughly offset, leaving the realized return approximately equal to the original yield to maturity. This relationship is exact if (a) the yield curve is flat and (b) the change in rates occurs immediately in a single step. In practice, the relationship is only an approximation. In the case of the domestic sovereign yield curve, the 20 bp increase in rates will likely be offset by the higher reinvestment rate, creating an annual return approximately equal to 2.00%.

中文解析:

如果投资期限等于投资组合的(麦考利)期限,则收益率增加所造成的资本损失和再投资效应(收益)将大致抵消,使实现回报大致等于原始到期收益率。如果(a)收益率曲线是平坦的,(b)利率的变化在单一步骤中立即发生,这种关系是准确的。在实践中,这种关系只是近似的。就国内主权债券收益率曲线而言,利率上升20个基点可能会被更高的再投资率所抵消,从而产生约等于2.00%的年回报率。

如题

1 个答案

笛子_品职助教 · 2024年01月19日

嗨,爱思考的PZer你好:


就是因为有个single,所以是麦考利?

Hello,亲爱的同学~

是因为已知条件:表格中已知麦考林久期为3。

根据固收的知识点:

如果投资期限等于投资组合的(麦考利)期限,则收益率增加所造成的资本损失和再投资效应(收益)将大致抵消,使实现回报大致等于原始到期收益率。


同学说有个singe,所以是麦考林,不是这样的。

注意这里涉及到固收的知识。

所谓免疫策略,它一般只能抵消利率的一次性变动。如果利率变动一次后,再变化,原来的免疫策略可能会失效。

麦考林久期 = 投资期限,也只能抵御利率的一次变动。不能抵御多次变动。

这是解析里single的含义,single是指利率的一次变动。


在CME这门课里,债券免疫策略,麦考林久期,并不是考查重点。

同学这里稍微了解一下就可以,不用纠结。

等以后,同学开始学习固收这门课的时候,在这方面还会详细学习的。



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