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张欣佳 · 2024年07月18日

不能理解经济变好投IG吗？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000033

问题如下：

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项：

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释：

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

不能理解经济变好投IG吗？

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1 个答案

发亮_品职助教 · 2024年07月19日

如果要理解成经济变好的话，应该是投High-yield bond哈，而不是投Investment grade bond。因为在经济变好时，公司的经营变好，即便是high-yield bond，也会因为公司经营变好而违约概率下降，所以此时，HY bond提供的收益高，违约风险下降，在经济变好时是一个不错的投资。


这道题经济变好or经济变差都无所谓，不是本题的解题关键。这道题的解题关键一定要使得high-yield bond的价格下降（和investment grade bond相比）

选项A,B,C是给了不同的情景，我们就得分析在哪个选项描述的情景下，HY的价格会相对下降。

选项C的flight to quality是正确的，因为flight to quality就是市场纷纷去买高质量资产避险，例如，大家都去买投资级别的债券、国债，这时候这种高质量债券的价格会上升。

同时，flight to quality时，大家会卖出高风险资产避险，像HY bond就会被卖出，于是其价格就会下降。Flight to quality一般发生在市场危机，or市场厌恶风险时，此时会卖出高风险资产，买入低风险安全的资产避险


在选项C的flight to quality的背景下，HY Bond的价格相对下降，IG的价格相对上升。

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