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.
a bullet structure
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?