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SUN · 2019年11月23日

问一道题:NO.PZ2019103001000029

问题如下:

Compton explains that, in order to evaluate the asset allocation process, fixed-income portfolios should have an appropriate benchmark. Mowery asks for benchmark advice regarding DFC’s portfolio of short-term and intermediate-term bonds, all denominated in US dollars. Compton presents three possible benchmarks in Exhibit 2.

Based on DFC’s bond holdings and Exhibit 2, Compton 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, Compton should recommend proposed Benchmark 2.

A为什么不可以?

1 个答案
已采纳答案

发亮_品职助教 · 2019年11月24日

嗨,爱思考的PZer你好:


他要给DFC的Portfolio选一个Benchmark;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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虽然现在很辛苦,但努力过的感觉真的很好,加油!