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shirley_hd · 2020年07月08日

问一道题：NO.PZ2018091901000055

  1. CFA III
  2. Capital Market Expectations

问题如下：

An investor is considering adding three new securities to her internationally focused fixed income portfolio. She considers the following non-callable securities:

1-year government bond

10-year government bond

10-year BBB rated corporate bond

She plans to invest equally in all three securities being analyzed or will invest in none of them at this time. She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond. She has gathered the following information:

Using only the information given, calculate the expected return that an equal-weighted investment in the three securities could provide.

选项：

A.

4.8%

B.

4.9%

C.

6.1%

解释：

B is correct.

Estimate of the expected return of an equal-weighted investment in the three securities: (3.8% + 4.8% + 6.1%)/3 = 4.9%.

解析：首先，我们先计算出每种债券各自的收益。

1-year government bond没有任何风险溢价，所以它的收益率就是3.8%

相比较于1-year government bond，10-year government bond存在期限溢价，因此它的收益是：3.8%+1%=4.8%

相比较于1-year government bond，10-year corporate bond存在期限溢价，信用溢价以及流动性溢价，因此它的收益是3.8% +1% + 0.75% + 0.55%=6.1%

又因为这三类债券投资权重相等，所以直接求算数平均就可以求得投资的回报，即

(3.8% + 4.8% + 6.1%)/3 = 4.9%.

She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond. 


这句话是什么意思，是说低于5.3%的收益不投吗？

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120555137 · 2020年07月13日

第一句就是这三个bond都是新的投资，没有解释的很清楚啊

1 个答案
已采纳答案

源_品职助教 · 2020年07月08日

嗨，从没放弃的小努力你好：


是新的投资产生的对于1年期的短期国债溢价小于150个BP就不投。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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