riding the yield curve 滑收益率曲线又称tail-end gapping,为一种利用收益率曲线的形状谋取利益的操作。当收益率曲线斜率递增时,则投资买者可延长(spreading)满期期限,藉时间经过增加价值。例如:三个月 yield curve 产额曲线 negative yield curve 负收益率曲线 flash yield curve 闪蒸曲线 mass yield curve...
For example, an investor with a three-month investment horizon may buy a six-month bond because it has a higher yield; the investor sells the bond at the three-month date, but profits from the higher six-month yield. If interest rates rise, then riding the yield curve is not as profita...
1、riding the yield curve,cfa二级考试里提到的一个策略,投资者希望获取更高的收益,于是把投资对象的期限拉长,比如原来打算买三年期限的债券,持有至债券到期,获得本金兑付和利息收入。现在变化了,用五年期限的债券替换了三年期限的债券,持有到第三年卖出债券,获得超额收益。 根据百度百科的解释:骑乘收益率曲线(riding...
老师您好,关于riding the yield curve,比如经典题1.13题,可以使用这个策略的条件是向上倾斜和shape不变,这个没有问题。国家A那段最后一句话,future spot rates reflect the current forward curve for all maturities,这句话怎么理解???可是现在的forward rate比如f(2,2) 一定是大于现在的s(2)吧,而riding the yie...
必应词典为您提供Riding-the-yield-curve的释义,网络释义: 乘坐收益率曲线方法;滑收益率曲线;收益率曲线追踪;
而ride the yield curve,是买入即将到期债券品种,等待其收益率出现快速下滑时,在债券到期之前迅速卖出,产生较好的市场价差回报,也就是赚取capital gain。 英语描述为:Riding the yield curve expects the securities prices rise significantly when yields have fallen. Investors can sell those securities, scoring a ...
Riding the yield curve: Term premiums and excess returns. Review of Financial Economics 6 (1), 113-119.Riding the Yield Curve: Term Premiums and Excess Returns. Pelaez,Rolando F. The Review of Finacial Studies . 1997Pelaez RF (1997) Riding the yield curve: term premiums and excess returns...
respectively.A ROC analysis provided an area under the curve for CA19-9 of 0.871(0.820-0.922),giving an optimal CA19-9 of 70.5 U/ml for ... Gareth Morris-Stiff Mary Teli Nicky Jardine Malcolm CA Puntis - 《国际肝胆胰疾病杂志(英文版)》 被引量: 135发表: 2009年 Magnetoelastic permeabili...
摘要 The average return on long-term bonds exceeds the return on short-term bills by a large amount over short investment horizons. A riding-the-yield-curve investment strategy takes advantage of the higher returns on longer term bonds. This strategy involves the purchase of bonds with maturities...
It is one of the bond portfolio management strategies designed to increase income is called riding the yield curve. To be successful, managers using this approach must be willing to make several rather strong assumptions about the future course of interest rates. To illustrate, suppose that a man...