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Alex · 2019年12月22日

问一道题：NO.PZ201812020100000601

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

问题如下：

The portfolio strategy implemented by McLaughlin last year is mostly likely to be described as:

选项：

A.

a carry trade.

B.

a barbell structure.

C.

riding the yield curve.

解释：

C is correct.

Last year, McLaughlin expected the yield curve to be stable over the year. Riding the yield curve is a strategy based on the premise that, as a bond ages, it will decline in yield if the yield curve is upward sloping. This is known as "roll down"; that is, the bond rolls down the (static) curve. Riding the yield curve differs from buy and hold in that the manager is expecting to add to returns by selling the security at a lower yield at the horizon. This strategy may be particularly effective if the portfolio manager targets portions of the yield curve that are relatively steep and where price appreciation resulting from the bond’s migration to maturity can be significant. McLaughlin elected to position her portfolio solely in 20-year Treasury bonds, which reflect the steepest part of the yield curve, with the expectation of selling the bonds in one year.

请问这道题答案A为社么错误？这个是UK based 买美国国债不算么？

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发亮_品职助教 · 2019年12月22日

嗨，从没放弃的小努力你好：


Carry trade是涉及到两个头寸：

1. 借钱：借低利率；

2. 投资：投高利率；

所以Carry trade是一个Long/Short的策略，是一个：借钱、投资的策略。

从这道题的第一段可以看出，题干条件没有提到借钱（没有提到Short头寸），只说了购买20年期长期债券，所以这道题的策略是一个Long-only策略，所以我们直接排除Carry trade策略。

这道题有一些关键信息，能直接判断出是做Riding the yield curve：

1、a stable yield curve over the coming 12 months and noting that the yield curve was upward sloping

Stable yield curve/Upward sloping：这两个条件基本能锁定Carry trade/Riding the yield curve策略

2、...a price of 101.7593, with the expectation of selling the bonds in one year at a price of 109.0629.

买债券的价格是101.7593，卖债券的价格是109.0629，所以赚取的是Capital gain差价部分，而Riding the yield curve策略赚取的就是这个差价，所以可以判断本题是Riding the yield curve策略。

3、McLaughlin chose the 20-year Treasury bonds because they were on the steepest part of the yield curve.

选择投资20年期的美国债，是因为20年期附近的利率曲线最陡峭。

做Riding the yield curve策略，就是希望投资期结束时，为债券定价的收益率更低，这样债券期末的卖出价格就升的越高。20年期的收益率曲线越陡峭，说明20年期债券的收益率与19年期债券的收益率差距越大。

这就是买了20年期债券，投资 1年后，变成了19年期债券时，为债券定价的收益率大幅下降，所以债券的卖出价格大幅上升，Capital gain的部分多。所以做Riding the yield curve策略，选择了收益率曲线最陡峭的部分做。

“这个是UK based 买美国国债不算么？”

不算Carry trade。这道题的策略只是在国际市场上做Riding the yield curve策略。

我们三级学的所有策略：

Stable yield curve：Carry trade、Sell convexity、Buy-and-hold、Riding the yield curve；

以及Unstable yield curve：Buy convexity、Duration management、Barbell/Bullet

学的这些所有策略，都是假设在一国内部完成的，如果将这些策略牵引到国际市场，那就对应的是Inter-market strategies。

我们原版书只讲了Inter-market carry trade，是因为他很难而且很特殊，其他策略没讲，是因为其他策略本国内部做和国际市场做是一样的，只不过额外涉及一个汇率问题而已。

像本题是UK基金在美国市场做Riding the yield curve，额外涉及到了汇率，其他和一国内部的Riding the yield curve一样。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


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2021-01-31 23:58 1 · 回答

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2021-01-31 22:55 1 · 回答

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