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菜頭 · 2024年01月18日

如下

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000069

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

但是buy and hold可以属于active的范畴吗？

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1 个答案

pzqa31 · 2024年01月19日

嗨，努力学习的PZer你好：


buy and hold可以是Passive 也可以是active,这是两个维度的问题，并没有对应关系。

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