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 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).
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.
三个objective分别是：
the ability to fund future liabilities（不知道哪个strategy更好，因为没有足够liability信息）
protect interest income from short-term inflation（strategy 2更好，因为是floating coupon）
minimize the correlation with the fund’s equity portfolio. （strategy 1更好，因为correlation coefficient-0.15更降低与equity相关性）
请问是不是这样理解？
另外floating-coupon bonds with a modified duration of one month如何理解，我理解one month是macaulay duration，modified durantion应该是一个数字？