朱同學(xué)
2023-11-05 22:56An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury postions.Under which of the following yield curve scenarios would you expect the investor to realize the greatest porofolio gain?A、Bear flattening B、Bull falttening C、Yield curve inversion
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
Simon助教
2023-11-06 09:17
該回答已被題主采納
同學(xué),上午好。因為題目要求greatest portfolio gain。
因為題目要求是duration-neutral(要保證一買一賣,久期不變),而且題目里預(yù)期curve flattening,所以我們會long 長期債,short 短期債。
A和B,都是一賺一虧
C在yield curve inversion的情況下,long 10y債券頭寸是賺錢的,short 2y債券頭寸也賺錢,兩端都賺錢,所以收益最高。
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回復(fù)Simon:謝謝Simon老師畫圖,看起來非常清楚。
