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我是一条鱼 · 2021年12月30日

MACAULAY DURATION

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000026

问题如下：

Mowery informs Compton that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation.

Compton provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Compton explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.

Based on Exhibit 1, which of the portfolios will best immunize SD&R’s single liability?

选项：

A.

Portfolio 1

B.

Portfolio 2

C.

Portfolio 3

解释：

B is correct.

In the case of a single liability, immunization is achieved by matching the bond portfolio’s Macaulay duration with the horizon date. DFC has a single liability of $500 million due in nine years. Portfolio 2 has a Macaulay duration of 8.9, which is closer to 9 than that of either Portfolio 1 or 3. Therefore, Portfolio 2 will best immunize the portfolio against the liability.

请问选择的时候是不是一定要选择MACAULAY DURATION大于PORTFOLIO的，本题也就是要大于9年

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1 个答案

pzqa015 · 2021年12月30日

嗨，爱思考的PZer你好：


不是的

single liabiliy免疫的条件是资产的mac D=负债的investment horizon。正确的选项不一定是二者一定相等，可以略有差别。

portfolio 1的mac D是9.8，portfolio 3的mac D是8，负债的期限是9年，二者与9差异较大。

portfolio 2的mac D是8.9，与9较为接近，所以portfolio 2的免疫效果最好。

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