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小权 · 2024年04月18日

asset-driven

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000021

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.

The investment process followed by DFC’s previous fixed-income manager is best described as

选项：

A.

asset-driven liabilities.


B.

liability-driven investing.

C.

asset–liability management.

解释：

Correct Answer: C

C is correct. Asset–liability management strategies consider both assets and liabilities in the portfolio decision-making process. Leah notes that DFC’s previous fixed-income manager attempted to control for interest rate risk by focusing on both the asset and the liability side of the company’s balance sheet. The previous manager thus followed an asset–liability management strategy.

这道题问的的是之前fixed-income的策略，但在题目里并没有说明到底是先有asset还是先有liability，只是说我两者都focus，所以直接就选asset-liability management吗，这样子理解可以吗

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1 个答案

pzqa31 · 2024年04月18日

嗨，努力学习的PZer你好：



同时考虑资产与负债的投资策略是Asset-liability management策略，这是ALM是更大范畴的概念，对应的是Asset-only只考虑资产的投资策略。

在Asset-liability management的策略下，又可以分为Asset-driven liabilities,与Liability-driven investing；其区别是：已知是资产还是负债。Asset-driven liabilities是资产已知，找到合适的负债匹配，如融资租赁，租赁合同是其资产；Liability-driven investing是负债已知找到合适的资产匹配，如养老金。


本题属于比较细微的知识点区分，专门考到的这个区别。但是在其他题目中，并不强调是Asset-liability management中的哪种，所以经常会碰到Asset-liability management与Liability-driven investing混用的情况（在CFA中不考虑Asset-driven liability的情况）。而且这题是旧考纲的内容了，现在的教材已经没有这部分内容了，咱们就不用太纠结了哈。


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