请问与权益correlation 的这个数值很大吗？》-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

请问与权益correlation 的这个数值很大吗？》

NO.PZ2018120301000008

问题如下：

The objectives for the domestic bond portfolio include the ability to fund future liabilities, protect interest income from short-term inflation, and minimize the correlation with the fund’s equity portfolio. The correlation between the fund’s domestic bond portfolio and equity portfolio is currently 0.14. Celia plans to reduce the fund’s equity allocation and increase the allocation to the domestic bond portfolio. She reviews two possible investment strategies.

Strategy 1 Purchase AAA rated fixed-coupon corporate bonds with a modified duration of two years and a correlation coefficient with the equity portfolio of -0.15.
Strategy 2 Purchase US government agency floating-coupon bonds with a modified duration of one month and a correlation coefficient with the equity portfolio of -0.10.

Strategy 2 is most likely preferred to Strategy 1 for meeting the objective of:

选项：

protecting against inflation.

funding future liabilities.

minimizing the correlation of the fund’s domestic bond portfolio and equity portfolio.

解释：

Correct Answer: A

A is correct. Floating-coupon bonds provide inflation protection for the interest income because the reference rate should adjust for inflation. The purchase of fixed-coupon bonds as outlined in Strategy 1 provides no protection against inflation for either interest or principal.

Strategy 1 would instead be superior to Strategy 2 in funding future liabilities (better predictability as to the amount of cash flows) and reducing the correlation between the fund’s domestic bond portfolio and equity portfolio (better diversification).

在题干中一个是-0/1 另一个是-0.15 数值，这个数值显著吗？

嗨，爱思考的PZer你好：

C说：Strategy 2比Strategy 1更能降低Bond portfolio与Equity portfolio之间的Correlation。

Strategy 1购买的债券与Equity portfolio之间的Correlation是-0.15；

Strategy 2购买的债券与Equity portfolio之间的Correlation是-0.10；

显然，Strategy 1购买的债券，与Equity之间的Correlation更小一些。所以如果给组合中加入Strategy 1，能更进一步降低Bond portfolio与Equity portfolio之间的相关系数。

事实上，当前组合中：Bond portfolio与Equity portfolio的相关系数为0.14，只要买入的新债券，其与Equity的相关系数小于0.14，就可以进一步拉低组合的相关系数；所以Strategy 1和Strategy 2都可以进一步拉低组合的相关系数，只不过Strategy 1的相关系数更小一些，所以降低的效果更好。

Correlation是-1与+1之间的数，只要两两资产间的Correlation小于+1即可提供分散化效果；Correlation越小提供的分散化效果越好。

例如，Correlation=0.2，提供的分散化效果优于Correlation=0.5;

Correlation=-0.1，提供的分散化效果优于Correlation=0.2;

Correlation=-0.5，提供的分散化效果优于Correlation=-0.1;

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请问与权益correlation 的这个数值很大吗？》

1 个答案

1

1

145

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