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纯圆圆 · 2024年01月28日

这道题到底在问什么考察什么点？

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000048

问题如下：

Camille Blanc is a fixed income manager who recently started the Optima mutual fund. The fund is invested in a diversified portfolio of government and corporate bonds. The fund’s mandate requires the effective duration of its portfolio to match that of its benchmark. Blanc’s objective is to outperform a fixed-income benchmark by using an enhanced-indexing strategy.

Blanc evaluates the price sensitivities of Optima relative to its benchmark for changes in the yield curve using scenario analysis:

Scenario 1: She simulates an immediate 10 basis point (bps) parallel shift in the yield curve and finds no difference in the price sensitivities between Optima and its benchmark.

Scenario 2: She simulates an immediate 30 bps change in the 5-year spot rate and holds all other rates constant. She finds a 19 bps difference in the price sensitivities between Optima and its benchmark.

A. Determine whether Optima most likely violates its mandate under each of the following:

i. Scenario 1

ii. Scenario 2

Justify your response for each scenario. (2015 Q3)

Note: Consider each scenario independently.

选项：

解释：

Effective duration measures the sensitivity of a portfolio’s price to a small parallel shift in the yield curve (interest rate risk). For a larger parallel shift, a convexity adjustment is used to improve the accuracy of the estimated price change. Key rate duration captures non-parallel shifts (yield curve risk) such as a steepening in slope or a twist in the yield curve. It measures the effect of changes at key points along the yield curve.

i. Optima does not violate its mandate in Scenario 1. Optima and its benchmark exhibit the same price sensitivity to a small parallel shift in the yield curve because Optima is matched on effective duration.

ii. Optima does not violate its mandate in Scenario 2. Optima and its benchmark exhibit different price sensitivities to a non-parallel shift in the yield curve, indicating that Optima is not matched on key rate duration at the 5-year spot rate. However, its mandate does not require that it be matched on key rate duration.

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pzqa015 · 2024年01月28日

嗨，爱思考的PZer你好：


题目问下面哪个场景违反mandate，从文中找到mandate如下：

The fund’s mandate requires the effective duration of its portfolio to match that of its benchmark.

第一个情景，曲线平行移动，optima与benchmark的price表现无异。

根据平行移动时portfolio value的变化公式：△P/P=-duration*△y，两只债的duration是相同的，所以情景1不违背。

第二个情景，曲线非平行移动，optima与benchmark的表现有差异。

mandate并没有要求非平行移动下optima的表现，所以，情景二也是不违背mandate的。

这道题考察的就是平行移动时债券价格变动的影响因素，只收portfolio duration影响。

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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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