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linzhiheng24 · 2020年03月08日

问一道题:NO.PZ2019103001000039

问题如下:

McLaughlin and Michaela Donaldson, a junior analyst at Delphi, are now discussing how to reposition the portfolio in light of McLaughlin’s expectations about interest rates over the next 12 months. She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged. Selected yields on the Treasury yield curve, and McLaughlin’s expected changes in yields over the next 12 months, are presented in Exhibit 1.

Based on these interest rate expectations, McLaughlin asks Donaldson to recommend a portfolio strategy. Donaldson considers the following three options.

Bullet portfolio: Invest solely in 10-year Treasury government bonds

Barbell portfolio: Invest solely in 2-year and 30-year Treasury government bonds

Laddered portfolio: Invest equally in 2-year, 5-year, 10-year, and 30-year Treasury government bonds

Which of Donaldson’s statements is correct?

Using the yield curve forecast shown in Exhibit 1, which portfolio strategy should Donaldson recommend for the year ahead?

选项:

A.

The bullet portfolio

B.

The barbell portfolio

C.

The laddered portfolio

解释:

B is correct.

McLaughlin expects the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged, which implies that the yield curve will increase its curvature, pinned at the 30-year yield, as shown in Exhibit 1. The barbell portfolio, consisting of 2-year and 30-year bonds, would be expected to perform best. Although the two-year rate is expected to increase, the effective duration of two-year bonds is quite small, resulting in minimal price impact. Similarly, the 30-year yield is expected to remain constant, resulting in minimal price impact as well. Relative to the barbell portfolio, the laddered portfolio has greater exposure to the expected increases in the 5-year and 10-year yields, and the bullet portfolio has greater exposure to the expected increase in the 10-year yield. Therefore, the barbell portfolio would be expected to perform best given McLaughlin’s interest rate expectations.

老师,能帮忙解释下这道题吗?没看懂

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已采纳答案

WallE_品职答疑助手 · 2020年03月09日

同学你好,

因为2,5,10年的收益率曲线都增加,所以债券受这几年的影响较大,会导致债券价格降低。

这道题Bullet portfolio: 投资的是10年的国债,所以会受到利率上升带来价格下跌的影响

Laddered portfolio:投资的是2,5,10,30年的国债,所以也会受到利率上升带来价格下跌的影响

Barbell portfolio: 投资的是2,30年的国债,虽然第二年的利率上升会带来价格下降,但由于2年这个点的duration不大,所以带来的价格下降的幅度没有5年,10年的下降的幅度大。

对比这三个,我们就选择Barbell portfolio了

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NO.PZ2019103001000039 The barbell portfolio The laereportfolio B is correct. McLaughlin expects the yielcurve to experienincrease in the butterfly sprea with the 30-yeyielremaining unchange whiimplies ththe yielcurve will increase its curvature, pinnethe 30-yeyiel shown in Exhibit 1. The barbell portfolio, consisting of 2-yean30-yebon, woulexpecteto perform best. Although the two-yerate is expecteto increase, the effective ration of two-yebon is quite small, resulting in minimpriimpact. Similarly, the 30-yeyielis expecteto remain constant, resulting in minimpriimpawell. Relative to the barbell portfolio, the laereportfolio hgreater exposure to the expecteincreases in the 5-yean10-yeyiel, anthe bullet portfolio hgreater exposure to the expecteincrease in the 10-yeyiel Therefore, the barbell portfolio woulexpecteto perform best given McLaughlin’s interest rate expectations. 所以这三个portfolio都是亏钱的,只是比较哪个亏的更少嘛?

2021-04-20 19:38 1 · 回答

NO.PZ2019103001000039 老师,我理解这句话是30年yiel不变,但2s/10s/30s 均增加,收益率曲线应该是绕着30年的点向下转动,是steepening,哪里提到curvature了?

2021-03-28 18:15 1 · 回答

“She expects interest rate volatility to high” 这句话可不可以作为解题的关键呢? 因为波动率大,所以直接选择凸性最大的barbell。

2020-10-28 16:23 2 · 回答

请问老师,为什么这题不能从题目说的“high volatilit\"的角度出发选择volatility最大的Laeral(考虑到2year的yielcurve也增加,似乎并不是最优的情况下)。谢谢

2020-10-16 12:47 1 · 回答