TTER
2024-01-19 22:47第一題答案中說(shuō)，if the portfolio has a liability to meet, then the liability becomes the benchmark。這句話怎樣理解??？是說(shuō)如果是liability driven的組合，也有benchmark就是這個(gè)負(fù)債本身？這里的benchmark和return-based的benchmark是一個(gè)概念嗎
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
梁雪助教
2024-01-20 15:02
該回答已被題主采納
同學(xué)你好，
With LDI,the liabilities are given and the assets are structureed to managed interest rate risk.即構(gòu)建的資產(chǎn)組合中將liability作為benchmark.本題中獎(jiǎng)學(xué)金就是明確的liability，應(yīng)該作為構(gòu)建組合的benchmark.在index-based investment中，index則是benchmark，構(gòu)建的組合跟蹤index。
An investor seeking to offset a specific liability through immunization gauges the success of his strategy based on how closely the chosen bonds offset the future liability or liabilities under different interest rate scenarios. In contrast, an investor seeking to match the returns of a bond market index will gauge an investment strategy’s success in terms of how closely the chosen market portfolio mirrors the return of the underlying bond market index.
0
0
0
0
