丹同學(xué)
2022-05-21 23:02請問： Mukilteo examines an opportunistic strategy implemented by one of the hedge funds under consideration. The hedge fund manager selects 12 AAA rated corporate bonds with actively traded futures contracts and approximately equal durations. For each corporate bond, the manager calculates the 30-day change in the yield spread over a constant risk-free rate. He then ranks the bonds according to this spread change. For the bonds that show the greatest spread narrowing (widening), the hedge fund will take long (short) positions in their futures contracts. The net holding for this strategy is market neutral. 之所以會take long position是因為他們spread has narrowed 所以會bounce back 所以long 他們？ 我沒有理解， spread narrow 不是意味著債券價格升高嗎，那為什么還會long 呢？
所屬：CFA Level III > Alternative Investments for 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
開開助教
2022-05-22 18:59
該回答已被題主采納
同學(xué)你好，這是一個cross-sectional momentum策略，只要是momentum策略就是追漲殺跌的，買之前漲的多，賣之前跌的多的，因為此類策略假設(shè)趨勢會延續(xù)，即漲的還會漲，跌的還會跌。而不是買便宜的賣貴的。
基金經(jīng)理選了12只AAA的公司債（同一大類資產(chǎn)），久期相同，說明影響他們相對價格的主要因素就是spread。 他告訴我們利差變化的排序（過去30天，即同一段時間），也就變相告訴了我們這12只債券價格漲跌的排序。過去一段時間中利差擴大最多的公司債跌的最多，利差收窄最多的債券漲的最多。因此他做多利差收窄最多的，做空利差擴大最多的債券。
【點贊】喲~。加油，祝你順利通過考試~
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追問
追漲殺跌的英文是什么？long securities the price of which increased in past 30days and short decreased?
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追答
long those that are rising in price the most and by shorting those that are falling the most.
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