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非恒名 · 2023年01月25日

权重构建方法跟信用质量恶化有啥关系?

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NO.PZ202209060200004003

问题如下:

If Puhuyesva’s focus is avoiding credit quality deterioration, which of the South American debt indexes should most likely be chosen on the basis of the information in Exhibit 2?

选项:

A.RFS

B.DS

C.BSCA

解释:

Solution

C is correct. Compared with other weighting schemes, such as equally weighted, value-weighted indexes are tilted toward issuers with higher levels of debt. The more an issuer or sector borrows, the greater the tilt toward that issuer in the index. Leverage and creditworthiness are negatively correlated, so a value-weighted index will be more susceptible to credit quality deterioration than an equally weighted index will be. BSCA is an equally weighted index, whereas the others are value weighted.

A is incorrect because RFS is a value-weighted index.

B is incorrect because DS is a value-weighted index.

求问这个知识点在哪里


1 个答案

pzqa015 · 2023年01月27日

嗨,从没放弃的小努力你好:


这是二级portfolio中讲过的知识点,算是一个比较综合的知识吧。

对于债券型基金,如果用value weighted 构建,那么发债越多的企业权重越大,发债多说明企业的债务负担重,隐含着信用风险较高。

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努力的时光都是限量版,加油!

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