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treize_oz · 2023年06月04日

为何说策略1 匹配债务更好呢？答案没看懂

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000008

问题如下：

Theobjectives for the domestic bond portfolio include the ability to fund futureliabilities, protect interest income from short-term inflation, and minimizethe correlation with the fund’s equity portfolio. The correlation between thefund’s domestic bond portfolio and equity portfolio is currently 0.14. Celiaplans to reduce the fund’s equity allocation and increase the allocation to thedomestic bond portfolio. She reviews two possible investment strategies.

  • Strategy 1 Purchase AAA rated fixed-coupon corporate bonds with a modified duration of two years and a correlation coefficient with the equity portfolio of -0.15.
  • Strategy 2 Purchase US government agency floating-coupon bonds with a modified duration of one month and a correlation coefficient with the equity portfolio of -0.10.
Strategy 2 is most likely preferred toStrategy 1 for meeting the objective of:

选项：

A.

protecting against inflation.

B.

funding future liabilities.

C.

minimizing the correlation of the fund’s domestic bond portfolio and equity portfolio.

解释：

Correct Answer: A

A is correct. Floating-coupon bonds provide inflation protection for the interest income because the reference rate should adjust for inflation. The purchase of fixed-coupon bonds as outlined in Strategy 1 provides no protection against inflation for either interest or principal.

Strategy 1 would instead be superior to Strategy 2 in funding future liabilities (better predictability as to the amount of cash flows) and reducing the correlation between the fund’s domestic bond portfolio and equity portfolio (better diversification).

问题同上，策略2 久期是一个月，不是在偿还债务上更灵活么

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pzqa015 · 2023年06月05日

嗨，爱思考的PZer你好：


Theobjectives for the domestic bond portfolio include the ability to fund futureliabilities, protect interest income from short-term inflation, and minimizethe correlation with the fund’s equity portfolio. 

这句话的意思是，portfolio的目的是match未来现金流、为利息提供通胀保护，降低与equity的相关系数。


然后问strategy2比strategy1哪里更好


Strategy 1 Purchase AAA rated fixed-coupon corporate bonds with a modified duration of two years and a correlation coefficient with the equity portfolio of -0.15.

策略1，买的是fixed coupon bond（通胀保护效果差），与equity的相关系数是负0.15。

Strategy 2 Purchase US government agency floating-coupon bonds with a modified duration of one month and a correlation coefficient with the equity portfolio of -0.10.

策略2，买的是float coupon bond(通胀保护效果更好)，与equity的相关系数是-0.1（分散化效果弱于策略1）


所以，策略2的protecting against inflation.更好。


没有久期短，偿债灵活这个结论。


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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