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Pina · 2022年06月27日

spread

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000055

问题如下：

An investor is considering adding three new securities to her internationally focused fixed income portfolio. She considers the following non-callable securities:

1-year government bond

10-year government bond

10-year BBB rated corporate bond

She plans to invest equally in all three securities being analyzed or will invest in none of them at this time. She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond. She has gathered the following information:

Using only the information given, calculate the expected return that an equal-weighted investment in the three securities could provide.

选项：

A.

4.8%

B.

4.9%

C.

6.1%

解释：

B is correct.

Estimate of the expected return of an equal-weighted investment in the three securities: (3.8% + 4.8% + 6.1%)/3 = 4.9%.

解析：首先，我们先计算出每种债券各自的收益。

1-year government bond没有任何风险溢价，所以它的收益率就是3.8%

相比较于1-year government bond，10-year government bond存在期限溢价，因此它的收益是：3.8%+1%=4.8%

相比较于1-year government bond，10-year corporate bond存在期限溢价，信用溢价以及流动性溢价，因此它的收益是3.8% +1% + 0.75% + 0.55%=6.1%

又因为这三类债券投资权重相等，所以直接求算数平均就可以求得投资的回报，即

(3.8% + 4.8% + 6.1%)/3 = 4.9%.


老师好 这里不是说credit premium over 10-year government bond,为什么答案是把75bps加入到corporate bond 就是为什么returns不是

1-yre gov bond : 3.8%

10yrs gov bond = 3.8%+1%+0.75%

10yrs corp bond: 3.8%+0.55%

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源_品职助教 · 2022年06月27日

嗨，从没放弃的小努力你好：


在用BUILDING BLOCK方法计算股权收益的时候，

是以无风险债券收益率为基准，然后叠加上各类风险溢价。

10-year government也是国债，没有信用风险，和无风险债券比，它只多了流动性风险，所以无需加上风险溢价0.75%

10yrs corp bond是公司债，公司债和国债比就多了信用风险，所以要加上0.75%风险溢价这一项。

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努力的时光都是限量版，加油！

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NO.PZ2018091901000055问题如下investor is consiring aing three new securities to her internationally focusefixeincome portfolio. She consirs the following non-callable securities:1-yegovernment bon10-yegovernment bon0-yeBratecorporate bonShe plans to invest equally in all three securities being analyzeor will invest in none of them this time. She will only make the aeinvestment proviththe expectespreapremium of the equally weighteinvestment is least 1.5 percent (150bp) over the 1-yegovernment bon She hgatherethe following information:Using only the information given, calculate the expectereturn thequal-weighteinvestment in the three securities coulprovi. A.4.8% 4.9% C.6.1% B is correct.Estimate of theexpectereturn of equal-weighteinvestment in the three securities: (3.8%+ 4.8% + 6.1%)/3 = 4.9%.解析首先，我们先计算出每种债券各自的收益。1-yegovernment bon有任何风险溢价，所以它的收益率就是3.8%相比较于1-yegovernmentbon10-yegovernment bon在期限溢价，因此它的收益是3.8%+1%=4.8%相比较于1-yegovernmentbon10-yecorporate bon在期限溢价，信用溢价以及流动性溢价，因此它的收益是3.8% +1% + 0.75% + 0.55%=6.1%又因为这三类债券投资权重相等，所以直接求算数平均就可以求得投资的回报，即(3.8% + 4.8% +6.1%)/3 = 4.9%.我感觉这个组合最终没有溢价150bps啊, 最终我算4.9%的收益, 然后无风险收益3.8%, 等于只溢价了110bps不是吗? 所以不投资?

2022-03-20 16:26 1 · 回答

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2022-03-06 10:51 1 · 回答

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