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小刘忙 · 2025年07月06日

A至少不能说错吧?

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NO.PZ202303270300006202

问题如下:

(2) Which of the following statements best characterizes how the active portfolio is positioned for yield curve changes relative to the index portfolio?

选项:

A.

The active portfolio is positioned to benefit from a bear steepening of the yield curve versus the benchmark portfolio.

B.

The active portfolio is positioned to benefit from a positive butterfly movement in the shape of the yield curve versus the index.

C.

The active portfolio is positioned to benefit from yield curve flattening versus the index.

解释:

B is correct. A positive butterfly indicates a decrease in the butterfly spread due to an expected rise in short- and long-term yields-to-maturity combined with a lower medium-term yield-to-maturity. Since the active portfolio is short duration versus the index in the 2-year, 5-year, and 30-year maturities and long duration in the 10-year, it will generate excess return if the butterfly spread falls.

A至少不能说错吧?

1 个答案

李坏_品职助教 · 2025年07月07日

嗨,爱思考的PZer你好:


根据这个表格的信息,相比于index,表格中Active的Key rate Duration很明显超配了10y的(这是中期的债券),并且低配了短期和长期的。 这就代表,这个人对未来利率的预期是:中期利率下降,短期和长期会上升。这就是B选项描述的场景。


而A说的是bear steepening ,这个指的是短期和长期都上升,但是长期利率上升更多。那应该是在短期和长期债券可以看出明显的配置差异才对,应该是长期债券配置的最低,表格里看不出有这个特征,所以A不合适。 而且bear steepening并未涉及中期债券的价值变动,不足以支撑超配中期债券的决策。

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