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Brownie · 2022年11月27日

题目想问的是短期还是长期?HY相对IG差?

NO.PZ2021120102000033

问题如下:

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项:

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释:

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

我看题目问的是reduce future value of HY, 我理解问题是问未来HY价值会降低的情况,即长期来看,长期的经济差,HY就会下降更大。选项中,C是短期经济差,长期经济向好,不应该选c啊

1 个答案

pzqa015 · 2022年11月27日

嗨,从没放弃的小努力你好:


C选项说长期利率下降更多,并不是长期经济变好,反而是长期经济也不好。(如果预期长期经济好,长期的利率应该是上涨的,而不是下降的)。所以,预期经济变差,买入HYB不如买IG。

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