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苏卿 · 2023年08月05日

为什么是volatility变大？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000043

问题如下：

George was recently hired as the investment advisor for the SSR Corporation pension fund. The current market value of the pension fund’s assets is USD 10 billion, and the present value of the fund’s liabilities is USD 8 billion. George recommends that the risk-averse SSR board of directors consider adopting a liability-relative method, specifically the hedging/return-seeking portfolio approach. He is considering about allocating Inflation-Index bond to the return-seeking portfolio due to the circumstance:

选项：

A.

economic growth increase

B.volatility of inflation increase C.neither of above

解释：

Market inflation expectations incorporate both changing investor expectations about inflation and changing investor perceptions about the uncertainty of the future inflation environment. the difference between the 10-year UK inflation-linked government bond rate and the 10-year nominal bond rate reflects both investor expectations about the level of future inflation as well as a premium for the uncertainty of future inflation.

难道不是预期inflation增加才对吗？volatility变大你只是增加了risk并没有增加return啊


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lynn_品职助教 · 2023年08月05日

嗨，爱思考的PZer你好：


确实是和通胀挂钩的，但是A选项不对，


经济增长的通胀是温和的通胀。


与通胀挂钩的债券，是可以抵抗预期到和未预期到的通胀风险，因此在B通胀波动性增加时，我们需要投资inflation-index bond。


而经济增长，一般来说是伴随温和的通胀的，激烈的通胀不可预期的通胀反而会导致滞涨等情形，因此A选项不合适。


volatility变大你只是增加了risk并没有增加return啊


He is considering about allocating Inflation-Index bond to the return-seeking portfolio due to the circumstance:

题目是问增加Inflation-Index bond是因为什么，B选项就是恶性通胀的意思。

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