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问一道题：NO.PZ2019103001000079

问题如下：

Easton and Avelyn next discuss credit strategy approaches. Dynamo uses a bottom-up approach that selects bonds with the best relative value from the universe of bonds with similar characteristics.

Which of the following is most likely to be used when selecting securities based on Dynamo’s credit strategy approach?

选项：

Macro factors

Expected excess returns

Average option-adjusted spread

解释：

B is correct.

Analyzing expected excess returns against the expected magnitude of the credit-related risks is key to the bottom-up approach. Once the credit universe has been divided into sectors, the investor identifies the bonds with the best relative value within each sector. If Dynamo decides that two issuers have similar credit-related risks, then it will typically compare credit spread measures and buy the bonds of the issuer with the higher spread because those bonds likely have a higher potential for excess returns. For issuers with different credit-related risk, Dynamo must decide whether the additional spread adequately compensates for the additional credit risk.

请问解析当中这句话：“buy the bonds of the issuer with the higher spread because those bonds likely have a higher potential for excess returns” ，为何要买入higher spread的bond呢？如果未来higher spread，那么就代表未来收益率就会下降不是吗？谢谢

嗨，从没放弃的小努力你好：

“请问解析当中这句话：“buy the bonds of the issuer with the higher spread because those bonds likely have a higher potential for excess returns” ，为何要买入higher spread的bond呢？”

题干要求的方法是：Bottom-up 选择 Best relative value的方法，也就是相对估值法、选择出最优的投资标的。

相对估值法选标的，就是在资产的条件差不多的情况下，找出来一个相对被低估的资产进行投资。因为条件差不多的资产，市场价格应该差不多。相对被低估，说明未来价格有回归正常的可能，赚取这部分上升的收益。

然后解析这一整段：If Dynamo decides that two issuers have similar credit-related risks, then it will typically compare credit spread measures and buy the bonds of the issuer with the higher spread because those bonds likely have a higher potential for excess returns.

当两个发行人有差不多的Credit-related risk，说明在定价合理的情境下，这两个债券的价格应该差不多、应该有差不多大的Spread，因为投资两个债券承担的风险差不多。

如果两个债券的Spread不一样，那么相对而言，他俩价格之间就存在相对被高估、与相对被低估。

选择Spread大的债券投资是因为：两支债券的风险本来差不多，但是市场定价给了这支债券过大的Spread（过高的折现率），所以这支债券的当前的市场价格是相对被低估的，所以当前买入他、预期未来Spread会回归正常（降低）、债券价格上升，获得价格上升的收益。

“如果未来higher spread，那么就代表未来收益率就会下降不是吗？”

风险差不多的两支债券，市场价格也应该差不多才对。而一支债券的Spread更大，说明他的当前市场价格过低、才导致折现率太大（Spread过大），所以预期未来回归正常的话，未来他的Spread会降低、价格会上升。所以我们选择投资Spread大的这支，赚取Spread回归正常、价格上升的收益。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

问一道题：NO.PZ2019103001000079

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