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lvyuanshuo · 2020年11月04日

问一道题：NO.PZ2018091901000055 [ CFA III ]

  1. CFA III
  2. Capital Market Expectations

问题如下：

An investor is considering adding three new securities to her internationally focused fixed income portfolio. She considers the following non-callable securities:

1-year government bond

10-year government bond

10-year BBB rated corporate bond

She plans to invest equally in all three securities being analyzed or will invest in none of them at this time. She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond. She has gathered the following information:

Using only the information given, calculate the expected return that an equal-weighted investment in the three securities could provide.

选项：

A.

4.8%

B.

4.9%

C.

6.1%

解释：

B is correct.

Estimate of the expected return of an equal-weighted investment in the three securities: (3.8% + 4.8% + 6.1%)/3 = 4.9%.

解析：首先，我们先计算出每种债券各自的收益。

1-year government bond没有任何风险溢价，所以它的收益率就是3.8%

相比较于1-year government bond，10-year government bond存在期限溢价，因此它的收益是：3.8%+1%=4.8%

相比较于1-year government bond，10-year corporate bond存在期限溢价，信用溢价以及流动性溢价，因此它的收益是3.8% +1% + 0.75% + 0.55%=6.1%

又因为这三类债券投资权重相等，所以直接求算数平均就可以求得投资的回报，即

(3.8% + 4.8% + 6.1%)/3 = 4.9%.

She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond.  根据这句话的意思，算出来的结果是4.9，相比3.8低于150bp的增长，所以不投？
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1 个答案

源_品职助教 · 2020年11月04日

嗨，从没放弃的小努力你好：


你的理解是对的。当前计算的溢价是4.9%-3.8%=1.1%小于150BPS，所以就不会投了。


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