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demon0312 · 2022年05月11日

No.PZ201812020100000409

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NO.PZ201812020100000409

问题如下:

Based on DFC’s bond holdings and Exhibit 2, Molly should recommend:

选项:

A.

Benchmark 1.

B.

Benchmark 2.

C.

Benchmark 3.

解释:

B is correct. DFC has two types of assets, short term and intermediate term. For the short-term assets, a benchmark with a short duration is appropriate. For the intermediate-term assets, a benchmark with a longer duration is appropriate.

In this situation, DFC may wish to combine several well-defined sub-benchmark categories into an overall blended benchmark (Benchmark 2). The Bloomberg Barclays Short-Term Treasury Index is an appropriate benchmark for the short-term assets, and SD&R uses a 50% weight for this component. The longer-duration Bloomberg Barclays US Corporate Bond Index is an appropriate benchmark for the intermediate-term assets, and SD&R uses a 50% weight for this component. As a result, Molly should recommend proposed Benchmark 2.

这里duration指标有什么作用?

1 个答案

pzqa015 · 2022年05月11日

嗨,努力学习的PZer你好:


duration可以代表剩余到期日的长短,benchmark 2的duration分别为0.5和7.5,意味着组合的剩余到期日是短期和中期。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

椰子皮 · 2022年08月21日

不是说short term指的是10年以内吗?为啥这里10年以内的又是短期又是中期?

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