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蕾 · 2024年01月11日

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  1. CFA III
  2. Fixed Income

NO.PZ2018120301000008

问题如下：

The objectives for the domestic bond portfolio include the ability to fund future liabilities, protect interest income from short-term inflation, and minimize the correlation with the fund’s equity portfolio. The correlation between the fund’s domestic bond portfolio and equity portfolio is currently 0.14. Celia plans to reduce the fund’s equity allocation and increase the allocation to the domestic 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 to Strategy 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).

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1 个答案

pzqa015 · 2024年01月11日

嗨，努力学习的PZer你好：


三个objective分别是：

the ability to fund future liabilities

protect interest income from short-term inflation

minimize the correlation with the fund’s equity portfolio. 

两个策略分别是

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.

题目问2比1在实现哪个objective上更好。


1投的是fixed coupon的债，2投的是float coupon的债，float coupon定期调整现金流，具有抗通胀属性，所以，在protection against inflation方面，2比1更好。

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