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石欣灵 · 2020年09月28日

老师,请问这段话怎么看出是riding the yield curve

Amy McLaughlin is a fixed-income portfolio manager at UK-based Delphi Investments. One year ago, given her expectations of a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping, McLaughlin elected to position her portfolio solely in 20-year US Treasury bonds with a coupon rate of 4% and a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629. McLaughlin expected the US dollar to depreciate relative to the British pound by 1.50% during the year. McLaughlin chose the 20-year Treasury bonds because they were on the steepest part of the yield curve.

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WallE_品职答疑助手 · 2020年09月28日

同学你好,

通过stable yield curve 和yield curve was upward sloping 可以判断这是做riding the yield curve 的好时机

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