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hyi725 · 2024年08月06日

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  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004601

问题如下：

Which of Adams’s three principles is least likely relevant for managing Berendsen’s fixed-income portfolio?

选项：

A.Principle I B.Principle II C.Principle III

解释：

Solution

C is correct. Managing the portfolio to Berendsen’s retirement needs is an example of a liability-driven investment, not an asset-driven liability. The aim of a liability-driven investment is to manage the assets to meet the liabilities. The liabilities are given and not driven by the assets.

A is incorrect because this is an example of a Type 1 liability. The price of the annuity and the timing of its purchase are both known.

B is incorrect because analyzing the size and timing of the liabilities is relevant to managing Berendsen’s portfolio.

liability-driven investment,和asset-driven liability做题的时候辨别总是分不清 有什么明显的分辨点吗

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发亮_品职助教 · 2024年08月07日

基本上我们不考Asset-driven liability

因为Asset-driven liability，从名字看出，这是资产推动型，是先有asset，然后再寻找合适的liability。

比较常见的就是融资租赁公司，他们会购买了大型资产——如飞机租出去，30年的租赁合同，每年收到cash flow的租金收入，这是他们的资产，同时，他们需要找到负债融资来支持购买飞机。这是先有资产的cash flow，然后同时想办法找合适的负债搭配。

ADL主要是管理负债，不属于CFA的范畴。CFA的目标是管理资产，是站在投资者角度。


Liability-driven investing，就是先有负债，然后去寻找合适的资产投资。这是CFA常考的角度。

比如，保险公司先卖保险，形成了他们的负债，然后再拿着收到的保费去投资，将来用投资收益cover保险理赔。

或者养老金，先有员工工作形成养老金负债，然后公司就得单独拿出来一块资金去投资资产，用资产cash flow cover将来的养老金支付。

Liability-driven investing的特点就是先知道负债的特征，然后去找合适的资产匹配。


他们的区别就是看先有的是资产还是先有负债。如果先有资产，那就是去寻找合适的负债，这是资产推动去找负债，是asset driven liability

如果是先有负债，再去找资产投资，这是负债推动型，是liability-driven investing。

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