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Falcon · 2021年06月19日

为什么不选A,A和C怎么区分

NO.PZ2019103001000021

问题如下:

SD&R Capital (SD&R), a global asset management company, specializes in fixed-income investments. Molly Compton, chief investment officer, is meeting with a prospective client, Leah Mowery of DePuy Financial Company (DFC).

Mowery informs Compton that DFC’s previous fixed income manager focused on the interest rate sensitivities of assets and liabilities when making asset allocation decisions. Compton explains that, in contrast, SD&R’s investment process first analyzes the size and timing of client liabilities, then builds an asset portfolio based on the interest rate sensitivity of those liabilities.

The investment process followed by DFC’s previous fixed-income manager is best described as:

选项:

A.

asset-driven liabilities

B.

liability-driven investing

C.

asset–liability management

解释:

C is correct.

Asset–liability management strategies consider both assets and liabilities in the portfolio decision-making process. Mowery notes that DFC’s previous fixed-income manager attempted to control for interest rate risk by focusing on both the asset and the liability side of the company’s balance sheet. The previous manager thus followed an asset–liability management strategy

为什么不选A,A和C怎么区分

1 个答案

pzqa015 · 2021年06月20日

嗨,爱思考的PZer你好:


为什么不选A,A和C怎么区分

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题干有一句话“previous fixed income manager focused on the interest rate sensitivities of assets and liabilities when making asset allocation decisions”,这句话的意思是,previous manager同时分析资产和负债对利率变动的敏感程度,进而作出asset allocation的决策,这种同时从资产负债入手分析做资产配置的方式是asset liability management。

A选项asset driven liabilities中,先有asset(一般是由业务特点决定asset特点),比如融资租赁,ADL的目的是融资,融资方式取决于asset特点。ADL主要研究融资,不是CFA三级固定收益研究的。


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