丹同学2022-05-21 23:02:38

请问： Mukilteo examines an opportunistic strategy implemented by one of the hedge funds under consideration. The hedge fund manager selects 12 AAA rated corporate bonds with actively traded futures contracts and approximately equal durations. For each corporate bond, the manager calculates the 30-day change in the yield spread over a constant risk-free rate. He then ranks the bonds according to this spread change. For the bonds that show the greatest spread narrowing (widening), the hedge fund will take long (short) positions in their futures contracts. The net holding for this strategy is market neutral. 之所以会take long position是因为他们spread has narrowed 所以会bounce back 所以long 他们？ 我没有理解， spread narrow 不是意味着债券价格升高吗，那为什么还会long 呢？