NO.PZ2023032703000048
问题如下：
Camille Blanc is a fixed income manager who recently started the Optima mutual fund. The fund is invested in a diversified portfolio of government and corporate bonds. The fund’s mandate requires the effective duration of its portfolio to match that of its benchmark. Blanc’s objective is to outperform a fixed-income benchmark by using an enhanced-indexing strategy.
Blanc evaluates the price sensitivities of Optima relative to its benchmark for changes in the yield curve using scenario analysis:
Scenario 1: She simulates an immediate 10 basis point (bps) parallel shift in the yield curve and finds no difference in the price sensitivities between Optima and its benchmark.
Scenario 2: She simulates an immediate 30 bps change in the 5-year spot rate and holds all other rates constant. She finds a 19 bps difference in the price sensitivities between Optima and its benchmark.
A. Determine whether Optima most likely violates its mandate under each of the following:
i. Scenario 1
ii. Scenario 2
Justify your response for each scenario. (2015 Q3)
Note: Consider each scenario independently.
选项：
解释：
Effective duration measures the sensitivity of a portfolio’s price to a small parallel shift in the yield curve (interest rate risk). For a larger parallel shift, a convexity adjustment is used to improve the accuracy of the estimated price change. Key rate duration captures non-parallel shifts (yield curve risk) such as a steepening in slope or a twist in the yield curve. It measures the effect of changes at key points along the yield curve.
i. Optima does not violate its mandate in Scenario 1. Optima and its benchmark exhibit the same price sensitivity to a small parallel shift in the yield curve because Optima is matched on effective duration.
ii. Optima does not violate its mandate in Scenario 2. Optima and its benchmark exhibit different price sensitivities to a non-parallel shift in the yield curve, indicating that Optima is not matched on key rate duration at the 5-year spot rate. However, its mandate does not require that it be matched on key rate duration.
i. Optima does not violate its mandate in Scenario 1. Optima is matched on effective duration, so it can immunize well on parallel shift.
ii. Optima does not violate its mandate in Scenario 2.
Optima and its benchmark exhibit different price sensitivities to a non-parallel shift in the yield curve. Since it only require to match effective duration, so it's fine to exist structural risk.
