No.PZ2021052101000046
这道题目的答案是否有问题
(1) The table below shows the structural of 3 different portfolios. According to the curve expectations, which of the following portfolio will have the highest expected return, and justify your response.
(2) Suppose portfolio A has an average maturity of 10 years. Portfolio B has an average maturity of 7 years, and portfolio C has an average maturity of 5 years.
The current yield curve is upward sloping, and the 7-year to 10-year is the steepest part of the yield curve. The fund manager expects the yield curve will remain stable over the next 2 years. The managers want to build a riding the yield curve strategy. According to the information above, which portfolio is the best one to achieve the strategy.
我的答案是：
portfolio C has the highest expected return since the 1y interest rate is 0% and the 10y interest rate is 50%, which has a largest spread.
portfolio A is the best to achieve the strategy, it has a longer maturity and the 7-year to 10-year is the steepest part of the yield curve. portfolio A has an average maturity of 10 years, which can reduce the initial cash outlay and reaches the highest return.
