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尚好的青春 · 2021年02月03日

问一道题:NO.PZ2019103001000008 [ CFA III ]

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. Deveraux 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:

A.

protecting inflation.

B.

funding future liabilities.

C.

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

解释:

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).

我怀疑我是不是看错了,题目中strategy1应该是购买的fixed_coupon债券,怎么能实现inflation protection的目标呢。
1 个答案

发亮_品职助教 · 2021年02月04日

嗨,爱思考的PZer你好:


“题目中strategy1应该是购买的fixed_coupon债券,怎么能实现inflation protection的目标呢。”


是的,Strategy 1买的是Fixed-coupon债券,无法实现Inflation protection。



这道题的题干实际上问的是Strategy 2的优点;注意看问题:

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

他说Strategy 2比Strategy 1更优:Strategy 2 is .... preferred to strategy 1;

是在哪方面更优呢:meeting the objective of;然后我们在选项中选出更优的这方面。


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NO.PZ2019103001000008问题如下The objectives for the mestic bonportfolio inclu the ability to funfuture liabilities, proteinterest income from short-term inflation, anminimize the correlation with the funs equity portfolio. The correlation between the funs mestic bonportfolio anequity portfolio is currently 0.14. veraux plans to rethe funs equity allocation anincrease the allocation to the mestic bonportfolio. She reviews two possible investment strategies.Strategy 1: Purchase Aratefixecoupon corporate bon with a mofieration of two years ana correlation coefficient with the equity portfolio of –0.15.Strategy 2: Purchase US government agenfloating-coupon bon with a mofieration of one month ana correlation coefficient with the equity portfolio of –0.10.Strategy 2 is most likely preferreto Strategy 1 for meeting the objective of: A.protecting inflation. B.funng future liabilities. C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. A is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal. Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification).请问老师floating bon是不是由于不能matration 所以是 不能用来cover liability的?前面做的一道题答案好像中提过。

2022-03-18 21:41 1 · 回答

NO.PZ2019103001000008 funng future liabilities. minimizing the correlation of the funs mestic bonportfolio anequity portfolio. A is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal. Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). C为什么错了?相关性对比时不是绝对值越小分散化越好吗?

2021-07-23 20:57 1 · 回答

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2020-12-03 13:41 1 · 回答

除了A之外,C是不是也是对的?

2019-11-23 15:52 2 · 回答