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Mahoosive · 2023年02月19日

benchmark 2中的corporate bond也没有注明期限呀

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000409

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.

Molly notes that SD&R generally uses actively managed portfolios designed to earn a return in excess of the benchmark portfolio. For clients interested in passive exposure to ­fixed-income instruments, SD&R offers two additional approaches.

  • Approach 1: Seeks to fully replicate a small range of benchmarks consisting of government bonds.
  • Approach 2: Follows an enhanced indexing process for a subset of the bonds included in the Bloomberg Barclays US Aggregate Bond Index. Approach 2 may also be customized to reflect client preferences.
To illustrate SD&R’s immunization approach for controlling portfolio interest rate risk, Molly discusses a hypothetical portfolio composed of two non-callable, investment-grade bonds. The portfolio has a weighted average yield- to-maturity of 9.55%, a weighted average coupon rate of 10.25%, and a cash flow yield of 9.85%.

Leah informs Molly that DFC has a single $500 million liability due in nine years, and she wants SD&R to construct a bond portfolio that earns a rate of return sufficient to pay off the obligation. Leah expresses concern about the risks associated with an immunization strategy for this obligation. In response, Molly makes the following statements about liability-driven investing:

  • Statement 1: Although the amount and date of SD&R’s liability is known with certainty, measurement errors associated with key parameters relative to interest rate changes may adversely affect the bond portfolios.
  • Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yield curve.
Molly provides the four US dollar–denominated bond portfolios in Exhibit 1 for consideration. Molly explains that the portfolios consist of non-callable, investment-grade corporate and government bonds of various maturities because zero-coupon bonds are unavailable.



The discussion turns to benchmark selection. DFC’s previous fixed-income manager used a custom benchmark with the following characteristics:

  • Characteristic 1: The benchmark portfolio invests only in investment-grade bonds of US corporations with a minimum issuance size of $250 million.
  • Characteristic 2: Valuation occurs on a weekly basis, because many of the bonds in the index are valued weekly.
  • Characteristic 3: Historical prices and portfolio turnover are available for review.
Molly explains that, in order to evaluate the asset allocation process, fixed-income portfolios should have an appropriate benchmark. Leah asks for benchmark advice regarding DFC’s portfolio of short-term and intermediate-term bonds, all denominated in US dollars. Molly presents three possible benchmarks in Exhibit 2.



Based on DFC’s bond holdings and Exhibit 2, Molly should recommend:

选项：

A.

Benchmark 1.

B.

Benchmark 2.

C.

Benchmark 3.

解释：

B is correct. DFC has two types of assets, short term and intermediate term. For the short-term assets, a benchmark with a short duration is appropriate. For the intermediate-term assets, a benchmark with a longer duration is appropriate.

In this situation, DFC may wish to combine several well-defined sub-benchmark categories into an overall blended benchmark (Benchmark 2). The Bloomberg Barclays Short-Term Treasury Index is an appropriate benchmark for the short-term assets, and SD&R uses a 50% weight for this component. The longer-duration Bloomberg Barclays US Corporate Bond Index is an appropriate benchmark for the intermediate-term assets, and SD&R uses a 50% weight for this component. As a result, Molly should recommend proposed Benchmark 2.

为什么可以选第二个benchmark


另外，选benchmark的时候不用考虑duration是吗？我理解的是，duration越接近，两者对市场的波动敏感程度越接近，越能更好地track，当然是在不考虑convexity等等的情况下

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1 个答案

pzqa015 · 2023年02月19日

嗨，爱思考的PZer你好：


题目说：Leah asks for benchmark advice regarding DFC’s portfolio of short-term and intermediate-term bonds。

然后M同学从表2的三个benchmark中推荐一个。

只有第二个的久期0.5与7.5各一半，符合short-term and intermediate-term bonds。

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