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Ruthlessbaby · 2019年12月02日

问一道题：NO.PZ2019103001000074

  1. CFA III
  2. Fixed Income

问题如下：

Gerber is looking at the high-yield portfolio and investigates secondary market characteristics that would increase the portfolio’s liquidity.

What secondary market characteristics would most likely have Gerber’s desired effect on portfolio liquidity?

选项：

A.

Decreased trading volume

B.

Less spread sensitivity to fund outflows

C.

A decrease in broker/dealer holdings

解释：

B is correct.

Spread sensitivity is the effect on credit spreads of large withdrawals by investors from credit funds. Spread sensitivity can be measured as the spread widening (in basis points) divided by the percentage outflow from high-yield funds (funds withdrawn divided by assets under management). A decrease in the spread sensitivity to fund outflows would most likely indicate an increase in liquidity.

A decrease in the spread sensitivity to fund outflows would most likely indicate an increase in liquidity.？？？

价差对基金的withdraw敏感性越低，流动性越大，之前在基础班听的时候就有点不理解，能帮忙再解释一下吗？基金withdraw和流动性能挂钩吗？

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1 个答案

发亮_品职助教 · 2019年12月02日

嗨，爱思考的PZer你好：


这点可以类比股票，同样是交易10万股，如果A股票能顺利地以当前市场价成交，那说明这1万股的交易规模相对于该股票的市场交易规模来讲就太小了，不足以对股价产生影响。那就说明这支股票交易活跃、流动性好，10万股的交易相对是小单，不足以对股票价格产生影响。

如果B股票同样交易这10万股，这一单B股票就涨停了，那说明B股票的市场规模相对就太小了、交易相对没那么活跃，相对A来说流动性就差一些。

这点就可以类比到债券。

如果有大笔Withdraw，基金需要卖出持仓来兑付。

如果基金卖出这笔持仓，能顺利地以当前市场价成交，那就不会对债券的Spread产生影响。所以Spread sensitivity就相对较低；

如果卖出这笔持仓，因为市场不够活跃、这一单的影响就足够大，对债券价格产生了影响，所以Spread发生Widening，因此Spread sensitivity就相对较高。

同样一单交易，交易越不活跃的债券，对债券的价格影响就越大，Spread的Widening就越大，则Spread sensitivity就越高。

所以Spread sensitivity to outflow其实是一个系数，Spread sensitivity = 卖出债券时，债券Spread的变化 / 卖出债券在基金中的占比；

这个系数越大，表明卖出债券对债券的Spread影响就越大，说明市场交易规模相对较小、流动性较差；

这个系数越小，表明卖出债券对债券的Spread影响较小，说明市场交易规模较大、流动性较好。

 


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numtwo5 · 2020年11月14日

回答中的公式里，分母“卖出债券在基金中的占比”跟Spread sensitivity 成反比，但看字面意思不是应该占比越大，敏感度越大吗？怎么理解这个公式中的反比关系呀？

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