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考拉 · 2024年01月21日

为什么只考虑index短期和中期,却不考虑mac duration 是9?

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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.

原文确实有Leah asks for benchmark advice regarding DFC’s portfolio of short-term and intermediate-term bonds,选这个选项是不是意味在实际过程中短期的债务和短期index匹配,中期债务和中期index 匹配么?文中也同时提到综合mac duration是9,为什么不选综合duration =9的选项呢?前面的提问回答我都看了,并不能解释我的疑惑,请老师再解答一下

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已采纳答案

pzqa31 · 2024年01月22日

嗨,爱思考的PZer你好:


不能只考虑duration,还要看benchmark的构成。因为DFC的Portfolio由Short-term、Intermediate-term bonds组成,也就是有短期、中期债券组成。所以,我们选的Benchmark,也要由短期和中期债券组成,要包含短期、中期债券。三个Benchmark里,只有第二个,是由一个短期Index(Duration=0.5)和一个中期Index(Duration=7.5)合成;剩下两个Benchmark,第一个Index,只包含中期债券(Duration=8.7);第三个Index,只包含长期债券(Duration=12.3)。因此第一个和第三个Index都不合适。

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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!

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