Portfolio Management Pathway - Yield Curve Strategies
Page 16 - Example 3 - Can someone please explain the difference between roll down return vs change in investors view of benchmark yields?
I am kind of confused right now because I thought this was a static yield curve example so where is the change in “investors view of benchmark yields” coming from?
Roll down return assumes that time passes (say, one year), but the yield curve remains unchanged.
Change in investors’ view of benchmark yields comes after roll down return: it’s one year later, and now the yield curve changes instantly from the original to the new.
1 Like