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super31002 · 2021年09月21日

PZ201812020100000806

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000806

问题如下：

Based on Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations?

选项：

A.

Current Portfolio

B.

Pro Forma Portfolio 1

C.

Pro Forma Portfolio 2

解释：

C is correct.

Given Edgarton’s expectation for a steepening yield curve, the best strategy is to shorten the portfolio duration by more heavily weighting shorter maturities. Pro Forma Portfolio 2 shows greater partial duration in the 1- and 3-year maturities relative to the current portfolio and the least combined exposure in the 10- and 30-year maturities of the three portfolios. The predicted change is calculated as follows:

Predicted change = Portfolio par amount × partial PVBP × (curve shift in bps)/100

老师这道题是针对利率曲线steepen的情况，按说这种情况不是应该使用bullet吗？可为什么经过计算以后bullet的portfolio 1 还不如portfolio2呢

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1 个答案

pzqa015 · 2021年09月22日

嗨，从没放弃的小努力你好：



首先，steep下bullet表现好有一个前提假设，是被比较的portfolio的duration是相同的，而本题并未明确三个Portfolio的duration相同，所以steep下bullet未必表现是最好的，本题也证明了这一点。

其次，既然题目已知收益率变动和PVBP数据，那么我们最好别偷懒，一步一步计算一下各个portfolio的表现，这是最保险的做法，本题计算完毕后△current portfolio=-11.69、△portfolio1=11.98、△portfolio2=-11.45。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ201812020100000806 这道题的思考逻辑能不能麻烦老师写一下

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2021-09-05 22:55 1 · 回答

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