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mino酱是个小破货 · 2025年03月07日

感觉c选项也对，这两个风险没法比较？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004603

问题如下：

Is Adams is most likely correct in her assessment of measurement error?

选项：

A.Yes

B.No, because passive management would preclude measurement error

C.No, because asset liquidity risk is greater than the risk of measurement error

解释：

Solution

A is correct. Measurement error for Asset BPV can arise even in the classic passive immunization strategy for Type I cash flows, which have set amounts and dates. Asset liquidity can become a risk factor in strategies that add active investing to otherwise passive fixed-income portfolios and would not be applicable here.

B and C are incorrect.

请老师详解，总觉得很别扭，passive hedge的底层资产流动性不强，你去复制也是很难，没法完全复制影响不也很大吗？谢谢

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1 个答案

发亮_品职助教 · 2025年03月07日

不涉及passive复制index。这道题所说的passive策略是duration-matching or cash flow matching，这类LDI的负债管理策略。这些策略因为目标是match liability，并不是主动投资赚取超额收益，所以也划归为passive。


这道题前面题干一直在讨论duration-matching，下面接着说，when we evaluate similar situations, we will use a passive....所以可以明确，这块所说的passvie策略其实就是match liability的策略，并非是passive复制index的策略：


Adams states, “Generally when we evaluate similar situations, we will use a passive, as opposed to an active, management strategy for the fixed-income portfolio, which means the risk of measurement error will be greater than asset liquidity risk.”


匹配负债的话，duration-matching主要是依赖负债和资产的指标，如duration, BPV, convexity。如果本身这些指标都算错了，那么匹配效果就会打折扣。这里会面临较大measurement error。和active策略相比，做匹配负债策略的调仓换股会更少，所以面临的asset liquidity risk相对更低。


反而对于active策略，不太需要用指标进行匹配，所以measurement error风险整体较小，因为涉及更加频繁的交易，所以asset liquidity risk更大。


duration-matching和active策略，都有自己面临的主要风险。这道题其实就是在考查各自的主要风险是啥。

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