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moon · 2022年02月14日

FI

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003102

问题如下：

Which of the following active portfolios is expected to have the highest excess return versus the index if European economies are expected to experience an earlier and much stronger credit cycle recovery than the United States?

选项：

A.

EUR HY 50.0%, EUR IG 25.0%, USD IG 12.5%, USD HY 12.5%

B.

EUR IG 50.0%, EUR HY 25.0%, USD IG 12.5%, USD HY 12.5%

C.

EUR HY 33.3%, US HY 33.3%, EUR IG 16.7%, USD IG 16.7%

解释：

A is correct. Given that high-yield spreads are expected to fall the most in an economic recovery, the manager should choose the portfolio with the highest percentage of EUR HY credit exposure.

老师，可以解释下这道题吗？谢谢

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已采纳答案

pzqa015 · 2022年02月15日

嗨，从没放弃的小努力你好：


这道题考察的是不同信用周期下的资产配置。

基本结论是：预期经济变好，提高HYB的配置；预期经济走差，提高IG的配置，这样才可以实现收益最大化。

本题说欧洲经济复苏比美国要快要强，那么应该提高欧元区债券的配置权重，在欧元区内部，提高HYB的配置权重，所以A是最合适的。

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努力的时光都是限量版，加油！

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