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尚好的青春 · 2022年04月07日

这题目为什么不选B？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000021

问题如下：

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

Leah informs Molly that DFC’s previous ­fixed-income manager focused on the interest rate sensitivities of assets and liabilities when making asset allocation decisions. Molly explains that, in contrast, SD&R’s investment process ­first analyzes the size and timing of client liabilities, and then it 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：

Correct Answer: C

C is correct. Asset–liability management strategies consider both assets and liabilities in the portfolio decision-making process. Leah 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.

题目中是一句liability来build asset portfolio，不是么？

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大写的LUCIA · 2022年04月07日

Leah informs Molly that DFC’s previous ­fixed-income manager focused on the interest rate sensitivities of assets and liabilities when making asset allocation decisions. 题目问的是previous fixed-income manager

尚好的青春 · 2022年04月07日

Molly explains that, in contrast, SD&R’s investment process ­first analyzes the size and timing of client liabilities, and then it builds an asset portfolio based on the interest rate sensitivity of those liabilities.这句话就是分析liability的规模和期限以及利率的敏感度来build asset portfolio啊？

2 个答案

pzqa015 · 2022年04月08日

嗨，努力学习的PZer你好：


LDI:

liability给定，也就是由业务决定liability，根据负债特点决定投什么，LDI更多是强调资产配置方法，CFA主要研究的资产配置方法就是LDI下的，养老金、银行等都是LDI，asset目的是cover liability。


ALM：

是从同时分析资产与负债入手，关注与资产与负债对利率的敏感程度，进行管理，他并不是资产配置，更强调管理，让资产与负债价格变动尽量一致。我们讲的久期免疫，就是与ALM。


本题属于比较细微的知识点区分，专门考到的这个区别。但是在其他题目中，并不强调是Asset-liability management中的哪种，所以经常会碰到Asset-liability management与Liability-driven investing混用的情况（在CFA中不考虑Asset-driven liability的情况）。


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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04月08日

嗨，爱思考的PZer你好：


以前的分析师说：SD&R’s investment process ­first analyzes the size and timing of client liabilities, and then it builds an asset portfolio based on the interest rate sensitivity of those liabilities.

意思是分析负债的时间和金额，以及对利率的敏感程度，然后构架资产组合，这就是ALM方法哈，它的特点是同时考虑资产和负债。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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