开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

凉茶325 · 2022年10月21日

麻烦解释下这句话correlation coefficient

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 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.
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).

a modified duration of one month and a correlation coefficient with the equity portfolio of -0.10. 这句话和题目中的那个CORRELATION 的话 能展现出什么特征呢

1 个答案

pzqa015 · 2022年10月22日

嗨,从没放弃的小努力你好:


题目说,现在的portfolio中股票与债券的相关系数是0.14,题目第一句话又说objectives for the domestic bond portfolio包括minimize the correlation with the fund’s equity portfolio,那么我们的策略中所买的债券加入到portfolio中后,要可以降低现有portfolio中股、债的相关系数。a correlation coefficient with the equity portfolio of -0.10,意思是要买的债券与股票负相关(相关系数-0.1),那么这样的债券加入的现在的组合中去,会降低组合已有股债的相关性的。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 59

    浏览
相关问题

NO.PZ2018120301000008 问题如下 Theobjectives for the mestic bonportfolio inclu the ability to funfutureliabilities, proteinterest income from short-term inflation, anminimizethe correlation with the funs equity portfolio. The correlation between thefuns mestic bonportfolio anequity portfolio is currently 0.14. Celiaplans to rethe funs equity allocation anincrease the allocation to themestic bonportfolio. She reviews two possible investment strategies.Strategy 1 Purchase Aratefixecoupon corporate bon with a mofieration of two years ana correlation coefficient with the equity portfolio of -0.15.Strategy 2 Purchase US government agenfloating-coupon bon with a mofieration of one month ana correlation coefficient with the equity portfolio of -0.10.Strategy 2 is most likely preferretoStrategy 1 for meeting the objective of: A.protecting against inflation. B.funng future liabilities. C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. CorreAnswer: is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal.Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). 我想请问经典题里面有totissuanoutstanng 和issuansize,这两者6有什么区别?我们判断流动性的大小应该看哪一个。

2023-01-26 11:46 1 · 回答

NO.PZ2018120301000008问题如下 Theobjectives for the mestic bonportfolio inclu the ability to funfutureliabilities, proteinterest income from short-term inflation, anminimizethe correlation with the funs equity portfolio. The correlation between thefuns mestic bonportfolio anequity portfolio is currently 0.14. Celiaplans to rethe funs equity allocation anincrease the allocation to themestic bonportfolio. She reviews two possible investment strategies.Strategy 1 Purchase Aratefixecoupon corporate bon with a mofieration of two years ana correlation coefficient with the equity portfolio of -0.15.Strategy 2 Purchase US government agenfloating-coupon bon with a mofieration of one month ana correlation coefficient with the equity portfolio of -0.10.Strategy 2 is most likely preferretoStrategy 1 for meeting the objective of: A.protecting against inflation.B.funng future liabilities.C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. CorreAnswer: is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal.Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). 如题 c为什么不对呀?。。

2023-01-04 07:45 1 · 回答

NO.PZ2018120301000008问题如下 Theobjectives for the mestic bonportfolio inclu the ability to funfutureliabilities, proteinterest income from short-term inflation, anminimizethe correlation with the funs equity portfolio. The correlation between thefuns mestic bonportfolio anequity portfolio is currently 0.14. Celiaplans to rethe funs equity allocation anincrease the allocation to themestic bonportfolio. She reviews two possible investment strategies.Strategy 1 Purchase Aratefixecoupon corporate bon with a mofieration of two years ana correlation coefficient with the equity portfolio of -0.15.Strategy 2 Purchase US government agenfloating-coupon bon with a mofieration of one month ana correlation coefficient with the equity portfolio of -0.10.Strategy 2 is most likely preferretoStrategy 1 for meeting the objective of: A.protecting against inflation.B.funng future liabilities.C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. CorreAnswer: is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal.Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). 此处两个债券mofieration不一样,对fixeincome的三个role有不一样的影响吗?

2022-12-08 03:31 1 · 回答

NO.PZ2018120301000008 问题如下 Theobjectives for the mestic bonportfolio inclu the ability to funfutureliabilities, proteinterest income from short-term inflation, anminimizethe correlation with the funs equity portfolio. The correlation between thefuns mestic bonportfolio anequity portfolio is currently 0.14. Celiaplans to rethe funs equity allocation anincrease the allocation to themestic bonportfolio. She reviews two possible investment strategies.Strategy 1 Purchase Aratefixecoupon corporate bon with a mofieration of two years ana correlation coefficient with the equity portfolio of -0.15.Strategy 2 Purchase US government agenfloating-coupon bon with a mofieration of one month ana correlation coefficient with the equity portfolio of -0.10.Strategy 2 is most likely preferretoStrategy 1 for meeting the objective of: A.protecting against inflation. B.funng future liabilities. C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. CorreAnswer: is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal.Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). Strategy 2用的是国债岂不是信用风险会更低?

2022-11-15 22:04 1 · 回答