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粉红豹 · 2020年03月05日

问一道题:NO.PZ2019103001000043

问题如下:

Sanober Hirji is a junior analyst with Northco Securities, which is based in Canada. The institutional clients of Northco are active investors in Canadian coupon-bearing government bonds. Client portfolios are benchmarked to a Canadian government bond index, which is a diverse maturity index portfolio. After reviewing the portfolio of a French institutional client, Hirji evaluates yield curve strategies for Canadian government bond portfolios under various interest rate scenarios. Hirji’s supervisor, Éliane Prégent, forecasts that Canadian long-term rates will rise and short-term rates will fall over the next 12 months.

Based on Prégent’s interest rate forecast over the next 12 months, the yield curve strategy that would most likely realize the highest profit is:

选项:

A.

a carry trade.

B.

a bullet structure

C.

duration management by buying long-term Canadian bonds

解释:

B is correct.

A bullet performs well when the yield curve is expected to steepen. Since Prégent’s forecast is for long rates to rise and short rates to fall, this strategy will add value to the French client’s portfolio by insulating the portfolio against adverse moves at the long end of the curve. If short rates fall, the bullet portfolio gives up very little in profits given the small magnitude of price changes at the short end of the curve.

发亮老师好,发散一下:

如果是inverted yield curve的情况,也就是收益率曲线向下倾斜,通过您说的“按照upward sloping 来分析”一样的,以及从利率变化来看,得到的结论不同。

1、如果是斜率从 -0.6 变成 -0.1,从图形上看是flatten,按照upsloping情形下去分析,此时应当是barbell,而不是bullet。

2、如果从图形上看,斜率从 -0.6 变成 -0.1,长期利率上升,短期利率下降,那么应当不用barbell,因为现金流集中在long term,所以此时应当是bullet,不是barbell。


所以怎么弄?哪个对?

1 个答案
已采纳答案

发亮_品职助教 · 2020年03月06日

嗨,爱思考的PZer你好:


笼统的来看,不分Upward sloping还是Downward sloping,也不看是Flattening还是Steepening,只要是长期利率相对下降,那就Barbell好;长期利率相对上升,那就Bullet好。

所以不管是Upward、还是Downward,也不用记是Flattening还是Steepening,直接看长、短期利率的相对变化,用现金流的分布来判决最快捷了。



我们教材和讲义,以及课后题,都是默认Upward sloping的情形,所以得到的结论都是基于Upward sloping。比如Steepening时,Bullet更好,Flattening时Barbell更好。

如果说要分析Downward sloping,那得到的Steepening时谁表现更好的结论肯定是相反的,但是分析思路还是一样的,从长短期利率相对变动,对现金流的影响程度判断就好了。不过估计我们的题目也考不到Downward sloping的背景。


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粉红豹 · 2020年03月06日

所以,应当是我假设方法中的第二种分析思路对吗?

发亮_品职助教 · 2020年03月06日

对的哈

粉红豹 · 2020年03月06日

嗯嗯,谢谢发亮老师的耐心解答~~ really helped,a lot!!!