岳同學(xué)
2020-06-10 17:57請問在百題中fixed income case4 Q2，老師解釋 “The longer the duration, the greater the total return potential because rates are low now and the yield curve is so deep.” 這句話錯了，因為應(yīng)該是Duration 越長 market risk 越大，而不是越低 但是問題中 只說rates are low 沒說 risks are low。 謝謝
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2020-06-10 20:18
該回答已被題主采納
同學(xué)你好
久期大只能說明對利率變化的敏感程度高，現(xiàn)在本身利率低不能說明回報就會大。只有現(xiàn)在利率變低了，才會因為久期大，債券價格上漲更多。如果利率上漲，久期大反而有損失。
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追問
老師在講解 “because rates are low”這段話的時候說the longer the duration ，risk應(yīng)該是較高，但是在題目中沒說到market risk is low而是說rates are low。是想知道老師怎麼從這段文字得出題目是想說market risk is low?
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追答
同學(xué)你好
我去聽了一下老師的講解。久期大，對利率敏感性高，所以利率敞口大，利率風(fēng)險大。老師說風(fēng)險低是不對的。因為風(fēng)險是高的。但他沒說市場風(fēng)險低。利率風(fēng)險和市場風(fēng)險不是一回事情。 -
追問
那請問他說的風(fēng)險是甚麼呢?
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追問
除了前面提到的 market value risk之外，題目就沒再提到risk，而且 rates are low是一個對於 Yield curve的描述，不是對於風(fēng)險的描述。 -
追答
同學(xué)你好
就the longer the duration這句話來說，風(fēng)險是指利率風(fēng)險。利率低不是風(fēng)險，但久期大是風(fēng)險。
Market value risk should be similar for the portfolio and the benchmark. 這里的市場價格應(yīng)該就是債券價格的意思，所以這種風(fēng)險就是指利率風(fēng)險。
他這里一共說了三句話
Market value risk should be similar for the portfolio and the benchmark. The longer the duration, the greater the total return potential because rates are low now and the yield curve is so steep.
Income risk is important for comparable assured income streams, which can be more stable and dependable in a portfolio with long maturities.
The average credit risk in the benchmark should be measured against the investor's overall portfolio and satisfy credit quality constraints in the policy statement."
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