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dognmnm · 2022年03月20日

溢价150bps

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000055

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%.

我感觉这个组合最终没有溢价150bps啊, 最终我算4.9%的收益, 然后无风险收益3.8%, 等于只溢价了110bps不是吗? 所以不投资?

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1 个答案

笛子_品职助教 · 2022年03月22日

嗨，爱思考的PZer你好：


这道题，给了3个债券，等权，要求计算收益率。这一问，只是问了，这个等权组合的收益率是多少，计算出来是4.9%。



然后，这个投资者，要求至少150BP的溢价。而这个等权组合计算出来，没有150BP的溢价，所以这个投资者就没有去投资啊。不过这是下一题了，和本小题就没关系了。


所以，投资者要求至少150BP溢价这个条件，不影响解本小题。

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