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rikkisong72 · 2023年07月14日

C选项

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004602

问题如下：

According to the information in Exhibit 1 and assuming Berendsen retires in four years, the fixed-income portfolio most likely:

选项：

A.should have a shorter duration. B.needs a higher cash flow yield. C.has currently achieved zero replication.

解释：

Solution

C is correct. The portfolio’s Macaulay duration of approximately 4.0 matches the time horizon of the liability and can be calculated as follows:

[(Portfolio weightBond 1 × DurationBond 1) + (Portfolio weightBond 2 × DurationBond 2) + (Portfolio weightBond 3 × DurationBond 3)] ÷ 3 = 3.99.

When compared with the single liability due in four years, the portfolio has the same return and duration characteristics of a single zero-coupon bond maturing in four years. The interest rate risk has been immunized, which is known as zero replication.

A is incorrect because the portfolio’s current duration matches the duration of the liability, or retirement date.

B is incorrect because the cash flow yield matches the required investment return. Although not equivalent to investment return, it is likely the portfolio’s return will meet the required rate of return.

请问这个portfolio的cash flow yield也是加权平均算吗？

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1 个答案

pzqa31 · 2023年07月14日

嗨，从没放弃的小努力你好：


Cash flow yield 是portfolio的YTM，把portoflio中各只债券的价格求和作为portfolio价格，把portfolio各期限的现金流之和作为coupon，根据未来现金流折现公式：P=∑coupon/(1+discount rate)，能够满足这个等式成立的discount rate就是cash flow yield。

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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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