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ZHANGSHIYI · 2022年11月24日

stock转bond,中间不需要先转成cash吗

  1. CFA III
  2. Derivative

NO.PZ2018113001000079

问题如下：

Herbert is a portfolio manager for a trust fund, which holds stocks and bonds in its portfolio.

Herbert expects interest rates to decrease, so he wants to use equity index and bond futures to adjust current asset allocations. Exhibit 1 shows the current and target asset allocations. Exhibit 2 shows selected data on the portfolio and the relevant futures contracts.

How many futures contracts should Herbert buy or sell to achieve the desired asset allocation?



选项：

解释：

Answer:

Herbert needs to reduce the equity allocation by $15,000,000 = $65,000,000-$50,000,000

The number of equity index futures contracts required:

Nf=βT−βSβf×Sf=0−1.21×15,000,00030,000=−600N_f=\frac{\beta_T-\beta_S}{\beta_f}\times\frac Sf=\frac{0-1.2}1\times\frac{15,000,000}{30,000}=-600

Herbert should sell 600 equity index futures contracts.

Herbert needs to increase the bond allocation by $15,000,000 = $50,000,000-$35,000,000

BPVHR=BPVT−BPVPBPVCTD×CFBPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF

BPVT=4.5×0.0001×15,000,000=6,750BPV_T=4.5\times0.0001\times15,000,000=6,750

BPVHR=BPVT−BPVPBPVCTD×CF=6750−090×0.75=56.25BPVHR=\frac{BPV_T-BPV_P}{BPV_{CTD}}\times CF=\frac{6750-0}{90}\times0.75=56.25

Herbert should buy 56 bond futures contracts (after rounding)

中文解析：

本题考察的是使用股指期货合约和债券期货合约进行资产配置。

根据题干的意思可知，现在想要降低股票在组合中的占比，增加债券在组合中的占比。

因此第一步是通过卖出股指期货合约来降低股票头寸，第二步再通过买入债券期货合约来增加债券头寸。具体合约的份数按照上述公式计算即可。

stock转bond,中间不需要先转成cash头寸吗

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1 个答案

Hertz_品职助教 · 2022年11月25日

嗨，爱思考的PZer你好：


同学你好

是需要的。同学请看这道题目中也是先将15million的股票头寸的β调至为0，就是在将股票现金化的过程，然后呢，第二步再调久期，从而实现把现金变成债券的调整。所以是有现金作为媒介的哈。

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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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2023-05-20 21:21 1 · 回答

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