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yewei1989 · 2021年04月06日

关于inflation

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000055

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 theexpected 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 governmentbond，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 governmentbond，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%.

一年期的政府债券收益率是3.8，括号里面提示，incorporate 2.6 inflation，是什么意思？是说3.8里面有2.6的inflation嘛？所以这个3.8是nominal 的，不是real的？

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1 个答案

源_品职助教 · 2021年04月06日

嗨，努力学习的PZer你好：


是的，在实务中，债券市场的报价都是名义报价。

----------------------------------------------
努力的时光都是限量版，加油！

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