融跃教育

融跃CFA答疑师老师    2024-01-23 10:26

致精进的你:

同学你好，属于固收的roll down（yield curve、spread curve），当curve向上倾斜，rolldown return就为正，向下倾斜，为负。 关于【远期的rolldown 】，如果是指currency management 里面的，正负主要取决于① forward points are at a premium or discount（即forward 是contango or 即backwardation）；②本身是Long or short头寸。 对于long forward，以forward price 买标的，以S卖标的，所以roll yield=（S-F）/S, contango为负，backwardation为正； 对于short forward，以forward price 卖标的，以S买标的，所以roll yield=（F-S）/S, contango为正，backwardation为负； 关于【bond pull to par的roll down】，可以看一下原版教材的这段定义：The rolldown return, sometimes referred to as “rolldown and carry return,” results from the bond “rolling down” the yield curve as the time to maturity decreases (see Exhibit 10), assuming zero interest rate volatility. Bond prices change as time passes even if the market discount rate remains the same. As time passes, a bond’s price typically moves closer to par. This price movement is illustrated by the constant-yield price trajectory, which shows the “pull to par” effect on the price of a bond trading at a premium or a discount to par value.是说rolldown return的产生是由于时间的推移，债券价格变化产生的。这个特征是对于折价或溢价债券，债券价格随着时间推移回归面值， 即“pull to par” effect。

The real talent is resolute aspirations.
真正的才智是刚毅的志向。