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Falcon · 2022年04月22日

后边的情况是liability-driven investing吗

  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.

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. 请解释下

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1 个答案

lynn_品职助教 · 2022年04月23日

嗨，从没放弃的小努力你好：



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。


这道题中DFC采用的是ALM 因为题目中提到了“focus on assets and liability”,考虑的是利率对两边的影响。


SD&R采用的是liability driven,因为是先从客户的liability来进行分析，并在负债对利率敏感度的基础上来构造组合。

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