Long-term bond returns under duration targeting, ArtículoAlthough most bond portfolios maintain a relatively stable duration over time and are thus implicitly or explicitly "duration targeted," the distinctive nature of duration targeting (DT) is underappreciated. The authors' theoretical DT model ...
Compare short-term. See also holding period. 2. Of or relating to a liability for which a long period of time (usually one year) remains until payment of the face amount comes due. A long-term bond is a long-term liability. Wall Street Words: An A to Z Guide to Investment Terms ...
网络长期美国国债;长天期美国公债 网络释义
你把利率当成股票价格,把effective duration看作是看跌期权的delta(债券和看跌期权的价格都是和基础资产价格反向变动)。 long coupon bond类似于long put,虽然duration(delta)绝对值在增大,但其实绝对值越大代表基础资产(利率)的负向影响越大,所以最终是short了duration。 convexity是利率越长,对于price的正向作用越大,...
此时如果想赚钱,那只有short bond才能赚钱。所以说Long利率(就是盼望着利率上涨的人)相当于是在short bond。而duration越大,bond价格相对于利率波动的敏感度就越大。 ---就算太阳没有迎着我们而来,我们正在朝着它而去,加油! 添加评论 1 0 1 回答 0 关注 174 浏览 我要回答 关注问题 相关问题 证书课 CFA...
income, I would keep your duration, [your] maturities, short or very medium short," he said. "I think it's too dangerous because rising interest rates — which, they could happen in the next couple years — could do a lot of damage to your portfolio if you start buying long-t...
Bond DurationLong-Term FactSet Classifications SegmentFixed Income: U.S. - Broad Market, Broad-based Investment Grade Long-Term CategoryBroad Market, Broad-based FocusInvestment Grade NicheLong-Term StrategyVanilla Weighting SchemeMarket Value
A long-term bond investor with an investment horizon of 8 years invests in option-free, fixed-ratebonds with a Macaulay duration of 10.5. The investor most likely currently has a:[单选题] A. positive duration gap and is currently exposed to the risk of lower interest rates. B. negative ...
Bond DurationLong-Term FactSet Classifications SegmentFixed Income: U.S. - Government, Treasury Investment Grade Long-Term CategoryGovernment, Treasury FocusInvestment Grade NicheLong-Term StrategyVanilla Weighting SchemeMarket Value Trading Data Open ...
Duration:Long-termbonds have a greater duration than short-term bonds. Duration measures the sensitivity of a bond's price to changes in interest rates. For instance, a bond with a duration of 2.0 years will decrease by 2% for every 1% increase in rates. Because of this, a given interest...