金程問(wèn)答
原版書(shū)課后題R29第15題:按照題中描述emphasizes security-specific factors, does not engage in factor timing, and builds a diversified portfolio與上課講義第120頁(yè)的systematic, bottom-up是相符的，但答案選的是C.Discretionary。不明白為什么這道題的答案與上課PPT的結(jié)論不一致。求解答
老師您好，原版書(shū)課后題第5題（詳見(jiàn)圖片）的B選項(xiàng)中的idiosyncratic risk是不變嗎？有增加的可能嗎？答案里沒(méi)有講，所以我想問(wèn)一下您，謝謝。
老師您好，原版書(shū)課后題有這樣一道題： 12. Based on its HHI, the initial US large-cap benchmark most likely has: A. a concentration level of 4.29. B. an effective number of stocks of approximately 35. C. individual stocks held in approximately equal weights. 請(qǐng)問(wèn)答案A中的concentration level是什么意思，和怎么求出來(lái)的？講義和notes里面都沒(méi)有看到這個(gè)概念。謝謝！ 題目詳見(jiàn)圖片
老師您好，在PPT 62-135 上有一張圖，我想知道左下角的trading error gross of trading costs是什么意思？這條線(xiàn)和trading cost線(xiàn)（虛線(xiàn)）疊加，可以得到tracking error線(xiàn)（實(shí)線(xiàn)），這條線(xiàn)是不是trading error net of trading costs？謝謝您！
上午題練習(xí)冊(cè)p235的A問(wèn)題：為什么spread duration小 reinvestment risk就?。拷M合里信用債權(quán)重小不應(yīng)該是credit risk相對(duì)低嗎，跟再投資風(fēng)險(xiǎn)有什么關(guān)系呢？
老師您好，有一道原版書(shū)上的問(wèn)題，一直搞不清楚，希望老師給予提示。 Book 4, SS10-11, Fixed income portfolio management, Reading 24 Yield Curve Strategies, Question #23, “Over the next 12 months, Abram expects a stable yield curve; however, Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook: Scenario 1: Sell all bonds in the Fund except the 2-year and 30-year bonds, and increase positions in these two bonds while keeping duration neutral to the benchmark.” 18. The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a: A. Fattening yield curve. B. reduction in yield curve curvature. C. 100 bps parallel shift downward of the yield curve. The correct answer is A. 我想知道為什么不選擇C？謝謝老師。
condor的組合，在ppt中顯示的買(mǎi)賣(mài)關(guān)系是，短端兩個(gè)組合，長(zhǎng)短兩個(gè)組合，這樣才能組成duration-neutral 課后題，reading24的第11題，給出longterm的duration和position，2年的duration，問(wèn)2年的債券的positon。是把2年的和longterm組合了求的。 請(qǐng)問(wèn)：condor組合，1、是否有ppt中匹配的絕對(duì)關(guān)系；2、都是buy的情況，也可以按照duration-neutral匹配計(jì)算么
p62 full replication / tracking error 圖中另外兩條線(xiàn)，為什么number of stock 增加，trading cost降低；以及為什么number of stock 增加，tracking error (gross of trading costs)增加
Hirji also proposes the following duration-neutral trades for the French institutional client: Long/short trade on 1-year and 3-year Canadian government bonds Short/long trade on 10-year and long-term Canadian government bonds (Institute 214) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！reading24課后題中這個(gè)condor要求duration-neutral，而不是教材中寫(xiě)的“money duration neutral”，后面的2s的allocation計(jì)算是依照money duration neutral計(jì)算的，不嚴(yán)謹(jǐn)？
老師您好！ reading24課后題第12題提到loses curvature，我畫(huà)了圖應(yīng)該是指圖一、圖二，但是我想問(wèn)的是：圖三、圖四是不是也是一種可能性呢？這樣就增加了curvature呀？ 謝謝老師！ C is correct. Hirji proposes an extreme bullet portfolio focusing on the middle of the yield curve. If the forecast is correct and the yield curve loses curvature, the rates at either end of the curve will rise or the intermediate yields will drop. As a result, bonds at the ends of the yield curve will lose value or the intermediate bonds will increase in value. In either case, the bullet portfolio will outperform relative to a more diverse maturity index portfolio like the benchmark. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
老師您好！ reading24課后題第11題答案：Allocation to 2-year bond = Money duration of long-term bonds/PVBP of 2-year bond (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 請(qǐng)問(wèn)上述公式是否正確？ 教材中不是說(shuō)：money duration=market value*duration嗎？PVBP本身也是money duration的概念，兩個(gè)money duration相除能得到2-year bond 的market value？ 謝謝！
老師您好！ reading24課后題第10題答案中提到“Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature.”，后面又提到short end get steeper，long end get flatter，這兩點(diǎn)和curvature是什么關(guān)系呢？ 洪老師課件中提到“笑臉”是convexity，所以我選了A，但是后面的解釋不理解。謝謝！ A is correct. The trades are also called a condor and employ four positions, much like a butterfly with an elongated body. Each pair of duration-neutral trades would result in a profit if the yield curve adds curvature. The trades at the short end of the curve (going long the 1-year bond and short the 3-year bond) would profit if that end of the curve gets steeper. In addition, the trades at the long end of the curve (going short the 10-year bond and long the long-term bond) would profit if that end of the curve becomes flatter. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
老師您好！ 還是這個(gè)問(wèn)題，抱歉！ Reading24課后題第11題的這張表中，duration和pvbp的關(guān)系是怎么算出來(lái)的呀？ pvbp不是應(yīng)該等于market value*duration/10000嗎？ 表格表頭的PVBP（C$ million）該怎么理解？ 謝謝！
老師您好！ reading24課后題第9題: 請(qǐng)問(wèn)：答案中If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds.的最后一句“foregone interest income ”怎么理解？stable的yield curve引起的？謝謝啦！ A is correct. Short maturity at- or near-the-money options on long-term bond futures contain a great deal of convexity. Thus, options increase the convexity of the French client’s portfolio. Options are added in anticipation of a significant change in rates. If the yield curve remains stable, the portfolio will experience a loss from both the initial purchase price of the options and the foregone interest income on the liquidated bonds. (Institute 225) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file.
老師您好！ Reading24 P199頁(yè)中的bank’s forecast for a 1% one-year rate one year from now ，在前文中提到了？怎么理解這個(gè)1%？ 謝謝！
程寶問(wèn)答
