为什么只考虑index短期和中期，却不考虑mac duration 是9？

NO.PZ201812020100000409问题如下 Basen C’s bonholngs anExhibit 2, Molly shoulrecommen Benchmark 1.Benchmark 2.Benchmark 3. Bis correct. C htwo types of assets, short term anintermeate term. Forthe short-term assets, a benchmark with a short ration is appropriate. Forthe intermeate-term assets, a benchmark with a longer ration isappropriate. Inthis situation, C mwish to combine severwell-finesub-benchmarkcategories into overall blenbenchmark (Benchmark 2). The BloombergBarclays Short-Term Treasury Inx is appropriate benchmark for theshort-term assets, anSR uses a 50% weight for this component. Thelonger-ration Bloomberg Barclays US Corporate BonInx is appropriatebenchmark for the intermeate-term assets, anSR uses a 50% weight forthis component. a result, Molly shoulrecommenproposeBenchmark 2. 问题如上，请详解，谢谢

NO.PZ201812020100000409问题如下 SRCapit(SR), a globasset management company, specializes in ­fixeincomeinvestments. Molly, chief investment officer, is meeting with a prospectiveclient, Leof Puy FinanciCompany (C). Leahinforms Molly thC’s previous ­fixeincome manager focuseon the interestrate sensitivities of assets anliabilities when making asset allocationcisions. Molly explains that, in contrast, SR’s investment process ­firstanalyzes the size antiming of client liabilities, anthen it buil assetportfolio baseon the interest rate sensitivity of those liabilities. Mollynotes thSR generally uses actively manageportfolios signeto earna return in excess of the benchmark portfolio. For clients interesteinpassive exposure to ­fixeincome instruments, SR offers two aitionalapproaches.Approa1: Seeks to fully replicate a small range of benchmarks consisting of government bon.Approa2: Follows enhanceinxing process for a subset of the bon incluin the Bloomberg Barclays US Aggregate BonInx. Approa2 malso customizeto refleclient preferences.Toillustrate SR’s immunization approafor controlling portfolio interestrate risk, Molly scusses a hypotheticportfolio composeof two non-callable,investment-gra bon. The portfolio ha weighteaverage yiel to-maturityof 9.55%, a weighteaverage coupon rate of 10.25%, ana cash flow yielof9.85%.Leahinforms Molly thC ha single $500 million liability e in nineyears, anshe wants SR to construa bonportfolio thearns a rateof return sufficient to poff the obligation. Leexpresses concern aboutthe risks associatewith immunization strategy for this obligation. Inresponse, Molly makes the following statements about liability-iveninvesting:Statement 1: Although the amount ante of SR’s liability is known with certainty, measurement errors associatewith key parameters relative to interest rate changes maersely affethe bonportfolios.Statement 2: A cash flow matching strategy will mitigate the risk from non-parallel shifts in the yielcurve.Mollyprovis the four US llar–nominatebonportfolios in Exhibit 1 forconsiration. Molly explains ththe portfolios consist of non-callable,investment-gra corporate angovernment bon of various maturities becausezero-coupon bon are unavailable.The scussion turns to benchmarkselection. C’s previous fixeincome manager usea custom benchmark with thefollowing characteristics:Characteristic 1: The benchmark portfolio invests only in investment-gra bon of US corporations with a minimum issuansize of $250 million.Characteristic 2: Valuation occurs on a weekly basis, because many of the bon in the inx are valueweekly.Characteristic 3: Historicprices anportfolio turnover are available for review.Mollyexplains that, in orr to evaluate the asset allocation process, fixeincomeportfolios shoulhave appropriate benchmark. Leasks for benchmark aiceregarng C’s portfolio of short-term anintermeate-term bon, allnominatein US llars. Molly presents three possible benchmarks inExhibit 2. Basen C’s bonholngs anExhibit 2, Molly shoulrecommen Benchmark 1.Benchmark 2.Benchmark 3. Bis correct. C htwo types of assets, short term anintermeate term. Forthe short-term assets, a benchmark with a short ration is appropriate. Forthe intermeate-term assets, a benchmark with a longer ration isappropriate. Inthis situation, C mwish to combine severwell-finesub-benchmarkcategories into overall blenbenchmark (Benchmark 2). The BloombergBarclays Short-Term Treasury Inx is appropriate benchmark for theshort-term assets, anSR uses a 50% weight for this component. Thelonger-ration Bloomberg Barclays US Corporate BonInx is appropriatebenchmark for the intermeate-term assets, anSR uses a 50% weight forthis component. a result, Molly shoulrecommenproposeBenchmark 2. 为什么可以选第二个benchmark另外，选benchmark的时候不用考虑ration是吗？我理解的是，ration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

NO.PZ201812020100000409 问题如下 Basen C’s bonholngs anExhibit 2, Molly shoulrecommen Benchmark 1. Benchmark 2. Benchmark 3. Bis correct. C htwo types of assets, short term anintermeate term. Forthe short-term assets, a benchmark with a short ration is appropriate. Forthe intermeate-term assets, a benchmark with a longer ration isappropriate. Inthis situation, C mwish to combine severwell-finesub-benchmarkcategories into overall blenbenchmark (Benchmark 2). The BloombergBarclays Short-Term Treasury Inx is appropriate benchmark for theshort-term assets, anSR uses a 50% weight for this component. Thelonger-ration Bloomberg Barclays US Corporate BonInx is appropriatebenchmark for the intermeate-term assets, anSR uses a 50% weight forthis component. a result, Molly shoulrecommenproposeBenchmark 2. 1的ration更接近9呢，这一点不需要考虑吗？

NO.PZ201812020100000409 问题如下 Basen C’s bonholngs anExhibit 2, Molly shoulrecommen Benchmark 1. Benchmark 2. Benchmark 3. Bis correct. C htwo types of assets, short term anintermeate term. Forthe short-term assets, a benchmark with a short ration is appropriate. Forthe intermeate-term assets, a benchmark with a longer ration isappropriate. Inthis situation, C mwish to combine severwell-finesub-benchmarkcategories into overall blenbenchmark (Benchmark 2). The BloombergBarclays Short-Term Treasury Inx is appropriate benchmark for theshort-term assets, anSR uses a 50% weight for this component. Thelonger-ration Bloomberg Barclays US Corporate BonInx is appropriatebenchmark for the intermeate-term assets, anSR uses a 50% weight forthis component. a result, Molly shoulrecommenproposeBenchmark 2. 这里ration指标有什么作用？