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sliang · 2025年01月30日

fixed income 经典题

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003102

问题如下：

An active United States–based credit manager faces the following US and European investment-grade and high-yield corporate bond portfolio choices:


The EUR IG and EUR HY allocations are denominated in euros, and the euro is expected to depreciate by 2% versus the US dollar over the next year.


Which of the following active portfolios is expected to have the highest excess return versus the index if European economies are expected to experience an earlier and much stronger credit cycle recovery than the United States?

选项：

A.

EUR HY 50.0%, EUR IG 25.0%, USD IG 12.5%, USD HY 12.5%

B.

EUR IG 50.0%, EUR HY 25.0%, USD IG 12.5%, USD HY 12.5%

C.

EUR HY 33.3%, US HY 33.3%, EUR IG 16.7%, USD IG 16.7%

解释：

A is correct. Given that high-yield spreads are expected to fall the most in an economic recovery, the manager should choose the portfolio with the highest percentage of EUR HY credit exposure.

这题出的不严谨吧。虽然欧洲复苏快，spread下降的多，但是题目也给了欧元贬值2%啊。如果因为欧洲HYspread下降的多而去多投欧洲资产，那换回美金回报率，不是亏的更多么？

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