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IanZQ · 2023年05月09日

为啥不直接比较34%和17%就可以了。

NO.PZ2018120301000001

问题如下:

Cécile is a junior analyst for an international wealth management firm. Her supervisor, Margit, asks Cécile to evaluate three fixed-income funds as part of the firm’s global fixed-income offerings. Selected financial data for the funds Aschel, Permot, and Rosaiso are presented in Exhibit 1. In Cécile’s initial review, she assumes that there is no reinvestment income and that the yield curve remains unchanged.



Based on Exhibit 1, which fund provides the highest level of protection against inflation for coupon payments?

选项:

A.

Aschel

B.

Permot

C.

Rosaiso

解释:

Correct Answer: B

B is correct. Permot has the highest percentage of floating-coupon bonds and inflation-linked bonds. Bonds with floating coupons protect interest income from inflation because the reference rate should adjust for inflation. Inflation-linked bonds protect against inflation by paying a return that is directly linked to an index of consumer prices and adjusting the principal for inflation. Inflation-linked bonds protect both coupon and principal payments against inflation.

The level of inflation protection for coupons equals the percentage of the portfolio in floating-coupon bonds plus the percentage of the portfolio in inflation-linked bonds:

Aschel = 2% + 3% = 5%.

Permot = 34% + 28% = 62%.

Rosaiso = 17% + 21% = 38%.

Thus, Permot has the highest level of inflation protection, with 62% of its portfolio in floating-coupon and inflation-linked bonds.


既然问的是protection against inflation for coupon payments,我理解是只关注COUPON PAYMENT就可以了。为啥不直接比较34%和17%就可以了。还要比34+28,17+21。


1 个答案

pzqa015 · 2023年05月10日

嗨,从没放弃的小努力你好:


inflation linked bonds本金会随着通胀调整,根据coupon payment=本金*coupon rate,虽然它的coupon rate固定,但本金变了也会导致coupon payment变化,所以也要关注inflation linked bonds的权重

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2018120301000001 问题如下 Cécileis a junior analyst for internationwealth management firm. Hersupervisor, Margit, asks Cécile to evaluate three fixeincome fun part ofthe firm’s globfixeincome offerings. Selectefinancita for the funAschel, Permot, anRosaiso are presentein Exhibit 1. In Cécile’sinitireview, she assumes ththere is no reinvestment income anththeyielcurve remains unchangeBasen Exhibit 1, whifunprovis the highest level of protection againstinflation for coupon payments? A.Aschel B.Permot C.Rosaiso CorreAnswer: is correct. Permot hthe highest percentage of floating-coupon bon aninflation-linkebon. Bon with floating coupons proteinterest income from inflation because the referenrate shoulaust for inflation. Inflation-linkebon proteagainst inflation paying a return this rectly linketo inx of consumer prices anausting the principfor inflation. Inflation-linkebon proteboth coupon anprincippayments against inflation.The level of inflation protection for coupons equals the percentage of the portfolio in floating-coupon bon plus the percentage of the portfolio in inflation-linkebon:Aschel = 2% + 3% = 5%.Permot = 34% + 28% = 62%.Rosaiso = 17% + 21% = 38%.Thus, Permot hthe highest level of inflation protection, with 62% of its portfolio in floating-coupon aninflation-linkebon. 老师请问,这里仅是问inflation protection for coupon为何加上inflation-linke 如果是两者相加,难道问法不应该是highest inflation protection for coupon anprincipal?

2023-01-17 00:22 1 · 回答