丹同學(xué)
2022-05-21 23:02請(qǐng)問(wèn)： 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(huì)take long position是因?yàn)樗麄僺pread has narrowed 所以會(huì)bounce back 所以long 他們？ 我沒(méi)有理解， spread narrow 不是意味著債券價(jià)格升高嗎，那為什么還會(huì)long 呢？
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)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(gè)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?yàn)榇祟惒呗约僭O(shè)趨勢(shì)會(huì)延續(xù)，即漲的還會(huì)漲，跌的還會(huì)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(shuō)明影響他們相對(duì)價(jià)格的主要因素就是spread。 他告訴我們利差變化的排序（過(guò)去30天，即同一段時(shí)間），也就變相告訴了我們這12只債券價(jià)格漲跌的排序。過(guò)去一段時(shí)間中利差擴(kuò)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(kuò)大最多的債券。
【點(diǎn)贊】喲~。加油，祝你順利通過(guò)考試~
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追問(wèn)
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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