NO.PZ2025042401000018
问题如下:
For an investor expecting future spot rates to be below the current forward rates, the expected return of a bond over a 1-year period will be:
选项:
A.less than the 1-year risk-free rate. B.equal to the 1-year risk-free rate. C.greater than the 1-year risk-free rate.解释:
Solution
-
A is incorrect because if a portfolio manager's projected spot curve is above (below) the forward curve and his expectation turns out to be true, the return will be less (more) than the one-period risk-free interest rate.
-
B is incorrect because if a portfolio manager's projected spot curve is above (below) the forward curve and his expectation turns out to be true, the return will be less (more) than the one-period risk-free interest rate.
-
C is correct because if a portfolio manager's projected spot curve is above (below) the forward curve and his expectation turns out to be true, the return will be less (more) than the one-period risk-free interest rate.
- describe the strategy of rolling down the yield curve
bond over a 1-year period是指一年期的债券,还是期限超过一年的债券?