| 摘要: |
| 当期的收益率曲线是否对未来的收益率曲线具有预测能力以及如何利用利率曲线构建策略组合，前期已有众多研究者进行了探讨。本文试图从蝶式组合的期初构建成本（“收益率让步”）角度出发，对上述问题提出一个解决思路。通过泰勒展开，可以将收益率让步分解出两个来源，一是对利率曲线平坦化的预期，二是哑铃型组合能从利率曲线波动中获得更大收益。本文主要探讨收益率让步的第一个来源。理论上期初的收益率让步可以预测未来中长期利差的变化，但经过检验表明，用这一预测方法效果不佳。此外，我们设计了一个极端值反向操作策略，即当期初的收益率让步极高或极低时，最终实现的利差变化无法抹平期初的收益率差异，由此来构建组合。后验结果表明，极端值反向操作策略在剔除了特殊时期后有较好的表现，但它可能不适用于经济环境、货币政策和金融市场变化较大的极端情境。 |
| 关键词: 蝶式组合；利率曲线；策略 |
| DOI： |
| 分类号:F830.9 |
| 基金项目: |
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| The Predictive Effect of Barbell-Bullet’s Return Give up on Yield Curve Shape and Strategy Application |
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CHENG Hao，CHEN Wei-ning，YAN Wan-qing1,2,3
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1.Essence Securities Co.，LTD.;2.China Oriental Asset Management Co.，LTD.;3.Southwest Securities Co.，Ltd.
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| Abstract: |
| Can future yield curve derived from yield curve today? How to construct investment strategy using yield curve shape? These two subject have been fiercely discussed by so many essays in the past.In these Essay，we try to give one way of solving these puzzles，starting with analyzing the negative carry of barbell bullet，which is also called return give up.After Taylor expanding，return give up can be divided into two parts，curve flattening expectation and curve fluctuation expectation.In this essay we mainly focus on the first one.Theoretically，return give up can help us predict to how extent the difference of long-term and medium-term yield will change during the holding period.However，data shows ineffective of return give up’s prediction.Meanwhile，we design a strategy to make use of return give up，at which we expect future yield curve can’t flatten or steepen enough to break even barbell-bullet’s holding period return when return give up is extraordinarily high or low.Except some particular periods，our strategy performs well.We suppose our strategy might not be profitable at periods when economy，monetary policy and financial market change dramatically. |
| Key words: Barbell and Bullet Portfolio；Yield Curve；Investment Strategy |
