标题: Reading 27: Fixed-Income Portfolio ManagementPart I－LOS c [打印本页]
作者: tycoon 时间: 2008-9-15 11:27 标题: [2008] Session 8－Reading 27: Fixed-Income Portfolio ManagementPart I－LOS c
CFA Institute Area 8-11, 13: Asset Valuation
Session 8: Management of Passive and Active Fixed Income Portfolios
Reading 27: Fixed-Income Portfolio ManagementPart I
LOS c: Discuss the criteria for selecting a benchmark bond index and justify the selection of a specific index when given a description of an investor's risk aversion, income needs, and liabilities.
作者: tycoon 时间: 2008-9-15 11:30
A defined benefit pension plan is most likely to specify its benchmark:
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| B) | in terms of the equity market. |
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C) | in terms of its liability structure. |
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| D) | in terms of the Lehman Brothers Aggregate Bond Index. |
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Answer and Explanation
The pension plan defines its benchmark in terms of meeting a specific amount of cash to satisfy the liabilities (pension benefits) on its books.
The pension plan defines its benchmark in terms of meeting a specific amount of cash to satisfy the liabilities (pension benefits) on its books.
作者: tycoon 时间: 2008-9-15 11:30
Fixed-income investors whose objective is to generate sufficient cash to satisfy their liabilities specify the benchmark:
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| B) | as either a bond index or in terms of its liability structure. |
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C) | in terms of its liability structure. |
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| D) | in terms of the convexity of the liability. |
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Answer and Explanation
Fixed-income investors whose objective is to generate sufficient cash to satisfy the liabilities specify the benchmark in terms of its liability structure.
Fixed-income investors whose objective is to generate sufficient cash to satisfy the liabilities specify the benchmark in terms of its liability structure.
作者: tycoon 时间: 2008-9-15 11:31
Which of the following most accurately describes the relationship between an investor's investment objectives and the benchmark chosen for performance evaluation? An investor with a:
A) | liability as a benchmark has an investment strategy to match the timing and amount of the payments corresponding to the liability. |
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| B) | bond index as a benchmark has as an investment objective to outperform the bond index. |
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| C) | liability as a benchmark has an investment objective that is to earn a higher return than the cost of borrowing. |
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| D) | bond index as a benchmark has an investment objective to produce exactly the same cash flows as the bond's underlying the index. |
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Answer and Explanation
The purpose of using the liability structure as a benchmark is to ensure meeting the liability payment streams, both in timing and amount.
作者: tycoon 时间: 2008-9-15 11:32
What is the investment objective for a pension sponsor who has a defined benefits based liability structure? The main objective is to:
| A) | minimize prepayment risk. |
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| B) | minimize performance risk. |
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C) | match the amount and timing of the liability. |
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| D) | outperform a bond index. |
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Answer and Explanation
Although the other answers are worthwhile activities in pension fund management, matching the liability structure should be the primary objective for the pension sponsor.
作者: tycoon 时间: 2008-9-15 11:33
A commercial bank that borrows and then lends funds is most likely to specify its benchmark:
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B) | in terms of its liability structure. |
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| C) | in terms of the duration of its assets. |
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| D) | in terms of the convexity of its assets. |
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Answer and Explanation
A commercial bank defines its benchmark in terms of meeting a specific amount of cash to satisfy the liabilities (deposits) on its books.
A commercial bank defines its benchmark in terms of meeting a specific amount of cash to satisfy the liabilities (deposits) on its books.
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