CASE中对应的段落
Next, while researching relative value strategies, Mukilteo considers a government bond strategy that involves buying lower-liquidity, off-the-run bonds and selling higher-liquidity, duration-matched, on-the-run bonds.
问题
Q. The government bond strategy that Mukilteo considers is best described as a:
- carry trade.
- yield curve trade.
- long/short credit trade.
请问carry trade 和yield curve trade有什么区别。我当时考虑carry trade因为需要买一个长期的债券以后卖掉来赚价差，所以没选1.选的2
但是答案选1
对于2错误的理由如下：B is incorrect because Mukilteo considers a carry trade, not a yield curve trade. For yield curve trades, the prevalent calendar spread strategy involves taking long and short positions at different points on the yield curve where the relative mispricing of securities offers the best opportunities, such as in a curve flattening or steepening, to profit. Perceptions and forecasts of macroeconomic conditions are the backdrop for these types of trades. The positions can be in fixed-income securities of the same issuer; in that case, most credit and liquidity risks would likely be hedged, making interest rate risk the main concern. Alternatively, longs and shorts can be taken in the securities of different issuers—but typically ones operating in the same industry or sector. In this case, differences in credit quality, liquidity, volatility, and issue-specific characteristics would likely drive the relative mispricing. In either case, the hedge fund manager aims to profit as the mispricing reverses (mean reversion occurs) and the longs rise and shorts fall in value within the targeted time frame.
