开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

sliang · 2024年10月27日

fixed income

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000009

问题如下：

An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?

选项：

A.

Bear steepening

B.

bull flattening

C.

Yield curve inversion

解释：

C is correct.

A duration-neutral flattening trade involves a short 2-year Bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines. Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.

The bear steepening in A involves an unchanged 2-year yield-to-maturity with a rise in the 10-year yield-to-maturity, causing a portfolio loss. The bull flattening in B combines a constant 2-year yield-to-maturity with lower 10-year rates, resulting in a gain on the 10-year bond position and an unchanged 2-year bond position.

麻烦可以再讲解一下这题么？不明白这题的解题思路是什么。谢谢

添加评论
1 个答案
已采纳答案

发亮_品职助教 · 2024年10月29日

这道题的题干这句就直接说明的头寸：

duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions

这是一个Duration-neutral的策略，这说明是一个Long-short策略，因为duration-neutral要实现组合整体的duration=0，只有Long-short策略才能实现。

然后是用2-year和10-year的债券构建，且是针对Yield curve flattening的策略。

针对yield curve flattening的策略就是在Yield curve flattening时可以盈利，那应该是long 10-year, short 2-year。

现在题目问，这样的策略，在选项的哪个利率改变中会有最大的收益。

那就是短期利率上升，长期利率下降时，Short 2-year有盈利，且Long 10-year有盈利。

对应就是选项C，选项C的短期利率上升幅度极大，长期利率下跌幅度极大，所以导致出现了yield curve inversion。long 10-year, short 2-year的组合，在这样的利率曲线下，收益会达到最大。

其实Long 10-year + short 2-year，这是一个针对yield curve flattening的策略，只要是发生yield curve flattening，那么都可以盈利。那选项B的Bull flattening下，这个策略肯定也可以盈利。

首先Bull是利率曲线的整体平行下移，long 10-year与short 2-year这是一个duration-neutral策略，整个组合不受利率曲线平行下移的影响。

然后在Flattening时，长期利率相对下降，短期利率相对上升，long 10-year和short 2-year的整体策略可以赚到收益。但这个收益肯定没有选项C的yield curve inversion大。所以本题不选B。

其实选项C的yield curve inverstion是yield curve flattening的极端情况。那么针对yield curve flattening的（long 10-year + short 2-year）策略在选项C的曲线变动下盈利肯定最大。

发亮_品职助教 · 2024年10月29日

Yield curve flattening长期利率相对下降，短期利率相对上升。如果要构建一个针对性的盈利策略，只能是long长期10-year, short短期2-year。因为长期利率下降时，long长期可以获得capital gain；短期利率相对上升时，short短期债券也可以盈利。还有针对yield curve steepening的策略（long短期，Short长期）。看到yield curve flattening strategy和yield curve steepening strategy的策略要能立即反应出来是long,short哪些债券。

  • 1

    回答

  • 0

    关注

  • 52

    浏览
相关问题

NO.PZ2021120102000009问题如下 active investor enters a ration-neutryielcurve flattening tra thcombines 2-yean10-yeTreasury positions. Unr whiof the following yielcurve scenarios woulyou expethe investor to realize the greatest portfolio gain? A.BesteepeningB.bull flatteningC.Yielcurve inversion C is correct.A ration-neutrflattening tra involves a short 2-yeBonpositionana long 10-yebonposition, whihave a “matcheration or portfolio ration of zero. This portfolio will realize a gain ifthe slope of the yielcurve—this, the fferencebetween short-term anlong-term yiel— clines.Yielcurve inversion is extreme version of flattening in whithe spreaetween long-term anshort-term yiel-to-maturity falls below zero.The besteepening in A involves unchange2-yeyielto-maturity witha rise in the 10-yeyielto-maturity, causing a portfolio loss. The bullflattening in B combines a constant 2-yeyielto-maturity with lower 10-yearrates, resulting in a gain on the 10-yebonposition anunchange2-yearbonposition. 是只能选flatterning的样子吗，也就是bull和bear二选一，所以invert不符合？

2024-08-06 09:09 1 · 回答

NO.PZ2021120102000009 问题如下 active investor enters a ration-neutryielcurve flattening tra thcombines 2-yean10-yeTreasury positions. Unr whiof the following yielcurve scenarios woulyou expethe investor to realize the greatest portfolio gain? A.Besteepening B.bull flattening C.Yielcurve inversion C is correct.A ration-neutrflattening tra involves a short 2-yeBonpositionana long 10-yebonposition, whihave a “matcheration or portfolio ration of zero. This portfolio will realize a gain ifthe slope of the yielcurve—this, the fferencebetween short-term anlong-term yiel— clines.Yielcurve inversion is extreme version of flattening in whithe spreaetween long-term anshort-term yiel-to-maturity falls below zero.The besteepening in A involves unchange2-yeyielto-maturity witha rise in the 10-yeyielto-maturity, causing a portfolio loss. The bullflattening in B combines a constant 2-yeyielto-maturity with lower 10-yearrates, resulting in a gain on the 10-yebonposition anunchange2-yearbonposition. 这道题做对了，只是好奇，好像官方题库的C改了，是Yiel unchange 这个跟这道题里的C，从理解上有什么不同？

2024-06-27 10:45 2 · 回答

NO.PZ2021120102000009 问题如下 active investor enters a ration-neutryielcurve flattening tra thcombines 2-yean10-yeTreasury positions. Unr whiof the following yielcurve scenarios woulyou expethe investor to realize the greatest portfolio gain? A.Besteepening B.bull flattening C.Yielcurve inversion C is correct.A ration-neutrflattening tra involves a short 2-yeBonpositionana long 10-yebonposition, whihave a “matcheration or portfolio ration of zero. This portfolio will realize a gain ifthe slope of the yielcurve—this, the fferencebetween short-term anlong-term yiel— clines.Yielcurve inversion is extreme version of flattening in whithe spreaetween long-term anshort-term yiel-to-maturity falls below zero.The besteepening in A involves unchange2-yeyielto-maturity witha rise in the 10-yeyielto-maturity, causing a portfolio loss. The bullflattening in B combines a constant 2-yeyielto-maturity with lower 10-yearrates, resulting in a gain on the 10-yebonposition anunchange2-yearbonposition. 老师好，可以麻烦再给我讲讲yielcurve inversion吗？我不记得何老师讲过，可能一二级学过，但我忘记了。谢谢。还有这道题为什么不能选B呢，是因为达不到ration neutral对吗？

2024-05-27 17:13 1 · 回答

NO.PZ2021120102000009 问题如下 active investor enters a ration-neutryielcurve flattening tra thcombines 2-yean10-yeTreasury positions. Unr whiof the following yielcurve scenarios woulyou expethe investor to realize the greatest portfolio gain? A.Besteepening B.bull flattening C.Yielcurve inversion C is correct.A ration-neutrflattening tra involves a short 2-yeBonpositionana long 10-yebonposition, whihave a “matcheration or portfolio ration of zero. This portfolio will realize a gain ifthe slope of the yielcurve—this, the fferencebetween short-term anlong-term yiel— clines.Yielcurve inversion is extreme version of flattening in whithe spreaetween long-term anshort-term yiel-to-maturity falls below zero.The besteepening in A involves unchange2-yeyielto-maturity witha rise in the 10-yeyielto-maturity, causing a portfolio loss. The bullflattening in B combines a constant 2-yeyielto-maturity with lower 10-yearrates, resulting in a gain on the 10-yebonposition anunchange2-yearbonposition. 答案是这么说的【这道题说的是要用2年期与10年期债券构建一个ration neutral的策略，这种策略在收益率曲线flatten下获得最大收益，然后让选出合适的flatten情形。我们先分析ration neutral。要想ration neutral，2年期债与10年期债肯定是相反头寸，即一个是Long，一个是short。】读到这里，我是明白的，因为ration neutr也就是组合的ration为0，那么两年期债券和十年期债券肯定是相反的头寸，通过一定比例调整后，组合的ration 是0。接下来，答案说【如果想在收益率曲线flatten下有利可图，可以判断2年期是short头寸，10年期是Long头寸（假设收益率曲线下降，2年期利率下降的少，10年期利率下降的多，也就是bull flatten，显然，只有long 10年期，short 2年期，才会在ration neutral的条件下有收益，若long 1年期，short 10年期，是有亏损的）】读到这里我就不明白了，为啥收益率曲线flatten下，一定是short 2年期债券，long 10年期债券呢。short 10年期 long 2年期债券，也可以实现ration neutral啊？

2024-05-25 13:34 2 · 回答