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liutiegang · 2020年05月04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.

老师您好,bullet是不是默认投资期限集中在短期(比如2年期)?barbell默认的投资期限在短期和长期(比如2年和30年)?考试的时候按这样理解对不对?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年05月06日

不是的 bullet一般默认在中期比如5年期。

考试的时候一般都会具体给出是多少年的,如果没有给出一般就是概念题。如果没有给出的话,你可以按照barbell是2年和30年的组合,bullet是5年的来理解。

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NO.PZ2019103001000043 a bullet structure ration management buying long-term Canabon B is correct. A bullet performs well when the yielcurve is expecteto steepen. SinPrégent’s forecast is for long rates to rise anshort rates to fall, this strategy will a value to the Frenclient’s portfolio insulating the portfolio against aerse moves the long enof the curve. If short rates fall, the bullet portfolio gives up very little in profits given the small magnitu of prichanges the short enof the curve. 利率曲线变陡,买一个中期的债券,应该影响不大吧?

2021-10-24 22:25 1 · 回答

NO.PZ2019103001000043 题目是做对了,但是为什么carry tra 要求是stable yielcurve? 如本题,短端的利率下降,长端利率上升,那么carry tra的话,不是更能获得好的收益吗? 却不用这个策略。 谢谢!

2021-04-26 18:58 2 · 回答

发亮老师好,发散一下 如果是inverteyielcurve的情况,也就是收益率曲线向下倾斜,通过您说的“按照upwarsloping 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?

2020-03-05 14:44 1 · 回答

我被迫害妄想症一下,协会出题会不会变态到给我们一个inverse的收益率曲线来迷惑我们。。。。如果可能。。。老师能不能举几个收益率曲线倒挂的表述。这题本身不难。

2020-02-01 23:27 2 · 回答