張同學(xué)
2022-10-03 00:30PPT第153頁和155頁，yield curve steepener/flattener strategies, 為什么steepener strategy要long 短期，short長期，而flattener strategy是shore 短期，long 長期獲利？原版書中是“Yield curve steepener strategies seek to gain from an increase in yield curve slope, or a greater difference between long- term and short- term yields- to- maturity. This may be achieved by combining a “l(fā)ong” shorter- dated bond position with a “short” longer- dated bond position.” Flattener strategies may use a barbell strategy, which reverses the exposure profile of a steepener—namely, a “short” short- term bond position and a “l(fā)ong” long- term bond position. The bull and bear variations of this strategy are summarized in Exhibit 18.
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
Nicholas助教
2022-10-05 20:28
該回答已被題主采納
同學(xué)，晚上好。
這個不一定，要看具體的環(huán)境，核心是獲益最大化。
例如收益率曲線變陡，可能是長期上漲更多，短期上漲更少，那么長期的久期更大，影響更明顯，且利率上漲更多，則Short LT，作為另一端就是Long ST；
如果是長期下降更多，而短期下降更少，變成曲線變平，則應(yīng)該Long LT/Short ST。
總之根據(jù)題目給出的利率環(huán)境判斷如何獲益更多而操作。
加油，祝你順利通過考試～
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