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dognmnm · 2022年04月05日

long长期short短期

NO.PZ2021120102000009

问题如下:

An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?

选项:

A.

Bear flattening

B.

bull flattening

C.

Yield curve inversion

解释:

C is correct. A duration-neutral flattening trade involves a short 2-year bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines.

Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.

The bear steepening in A involves an unchanged 2-year yield-to-maturity with a rise in the 10-year yield-to-maturity, causing a portfolio loss.

The bull flattening in B combines a constant 2-year yield-to-maturity with lower 10-year rates, resulting in a gain on the 10-year bond position and an unchanged 2-year bond position.

这个题目我知道要long长期short短期, 但三个选项都可以产生正的收益, 而且老师也说过利率倒挂情况很少见, 为何选c?

2 个答案

光的轨迹 · 2022年06月16日

题目没说最初收益率曲线的形状啊?

发亮_品职助教 · 2022年06月21日

其实不太需要判断期初的形状。只需判断期初的策略就行,题干这句:duration-neutral yield curve flattening告诉了我们,期初的组合策略是针对Yield curve flattenning的(Long 10-short 2),现在就判断这样的头寸,在哪一个选项的曲线变化中会获得最高的收益。显然是C的Inversion,因为Inversion长期利率会大幅下降,Long 10有很高的收益,短期利率有很大的上升,Short 2也有很高的收益。

发亮_品职助教 · 2022年04月06日

嗨,努力学习的PZer你好:


这个题目我知道要long长期short短期, 但三个选项都可以产生正的收益, 而且老师也说过利率倒挂情况很少见, 为何选c?


这道题是这样,题干已经构建好的Portfolio,然后选项有3个情景,Bear flattening,Bull falttening以及Yield curve inversion,然后让判断在哪种情景下Portfolio的收益是最高的。

因为选项出现了这种情况,所以我们就认为他是有可能发生的,也就不用考虑是否少见的问题了。因为题目的意图就是让我们分析在不同情景下,Portfolio的表现。


然后就是正常情况下,收益率曲线是向上倾斜的,如果发生C选项的Inversion的话,长期利率会大幅下降,由于我们已经分析出来了是Long 10-year bond,所以长期利率大幅下降时,该头寸盈利,且盈利非常大。


对比AB两个选项,仅仅是收益率曲线发生Flattening时,那么长期利率下降的幅度肯定没有C的Inversion时长期利率下降的幅度大,因此在A/B两个情况下,10-year bond带来的盈利就相对比较小。


2-year头寸的分析也同理。在发生inversion的情况下,原来upward sloping的曲线变成倒挂的,那短期利率要发生极大的上升,由于是Short 2-year bond,所以在inversion的情况下,short 2-year bond也有非常大的收益。

相比之下,A/B的flattening,2-year利率相对上升的幅度肯定没有C的大,因此A/B情景下short 2-year bond的盈利肯定也会更小一点。

综合一下就是Inversion的情景下,short 2-year与Long 10-year的影响都最大。

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