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早睡早起快乐学习 · 2022年03月07日

还是不太理解这道题的C选项

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NO.PZ201812020100000202

问题如下:

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).

correlation大小我记得是看绝对值的呀?所以我认为是strategy2的correlation更小。因为0.1小于0.15
3 个答案

发亮_品职助教 · 2022年03月30日

嗨,从没放弃的小努力你好:


所以一直是我记错了吗😢correlation的大小比较任何情况下都是要带着符号比较的呀?


对的,Correlation看的时候要带上符号比较。

Correlation比的时候有几个关键数据,Correlation =1,Correlation=-1,Correlation =0;


Correlation=1,就是完全正线性相关(perfect linear relationship),代表A上升时,B就上升;A下降时,B就下降;反映出来的是完全同步,同向的变动。体现到资产收益上,就是两个资产同涨同跌,这种情况下A/B两个资产的组合显然没有分散化的效果,因为两个资产总是表现同涨同跌。只有两个资产的收益并不总是同向变动时,才存在分散化的效果,例如,A涨时B下跌,or A涨时B不一定涨,这种情况下,AB的组合才有分散化风险的效果。


只要Correlation<1,就存在着分散化的效果。

因为Correlation<1,意味着A与B之间并不总是呈现出完全线性同向变动的关系,换句话说,A上升时,B有可能不是上升的;A下降时,B有可能不是下降的,在这种情况下,两个资产的收益并不总是同方向变动的,因此A/B的组合能够起到一定对冲的作用(分散化的作用)。


Correlation小于1的程度越大,分散化效果越好。

当Correlation=0时,代表A,B之间不存在线性关系。

当Correlation=-1时,代表A,B之间总是负向变动的,即A上升,B就下降;A下降,B就上升。发现A与B收益的波动可以完全对冲,于是AB的组合分散化效果最好,因为A与B的波动可以完全对冲点,组合的收益最稳定。


所以Correlation只要小于1就有分散化效果,越接近于负1,分散化效果越好。

在这道题里面,Strategy 1的correlation是-0.15,更接近于负1,因此分散化效果更好。

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加油吧,让我们一起遇见更好的自己!

pzqa015 · 2022年03月30日

嗨,努力学习的PZer你好:


在比较分散化效果时,correlation越小,分散效果越好,-1时最好,correlation 越大,分散性越不好,1时表现最差。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa015 · 2022年03月07日

嗨,从没放弃的小努力你好:


不是的

如果两个资产的相关系数是-1,那么分散效果是最好的,此时一个资产涨,另一个资产肯定跌。

如果两个资产的相关系数是-0.5,那么分散效果就会差一些。

如果两个资产的相关系数是1,那么完全无分散性,此时一个资产涨,另一个资产也涨。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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