證券和組合課后習(xí)題：tb20

CHAPTER20

BONDPORTFOLIOMANAGEMENTSTRATEGIES

TRUE/FALSEQUESTIONS

(f)1Inamodifiedbuy-and-holdstrategytheinvestordoesnotadjustthebond

portfoliomixaftertheinitialselectionismade.

(f)2Interestrateanticipationisthemostconservativemanagementstrategy.

(t)3Invaluationanalysis,undervaluedbondsarebondswheretheexpectedYTMsare

lowerthantheprevailingYTM.

(f)4Abondswapinvolvesliquidatingacurrentbondposition,andlaterinvestingina

similarissueundermorefavorableconditions.

(t)5Apureyieldpickupswapinvolvesaswitchfromalow-couponbondtoahigher-

couponbondofsimilarqualityandmaturity.

(t)6Asubstitutionswapreliesheavilyoninterestrateexpectations.

(t)7Whenapplyingactivemanagementtechniquestoaglobalportfoliotheadditional

concernisexpectationsregardingexchangeratesbetweencountries.

(f)8Aleveragedbuyoutpotentiallyposeshigherbusinessriskbecauseofabove

normalinterestrates.

(t)9Thebondmanagementstrategyintendedtoeliminateinterestrateriskis

immunization.

(t)10Aportfolioofbondsisimmunizedforaholdingperiodifitsvalueattheendof

theholdingperiod,regardlessofthecourseofinterestratesduringtheholding

period,isatleastaslargeasitwouldhavebeenhadtheinterest-ratefunctionbeen

constantthroughouttheholdingperiod.

(t)11Aportfolioofbondsisimmunizedfrominterestrateriskifthedurationofthe

portfolioisalwaysequaltothedesiredinvestmenthorizon.

(f)12Thedurationofaperpetualbondisalwaysequaltoitstermtomaturity.

MULTIPLECHOICEQUESTIONS

(d)1Whichofthefollowingisapassivebondportfoliostrategy?

a)Indexing

b)Buy-and-Hold

c)Classicalimmunization

d)Choicesaandb

e)Noneoftheabove

(d)2Theactivestrategiesfbrbondmanagementincludeallofthefollowing,except

a)Interestrateanticipation.

b)Creditanalysis.

c)Spreadanalysis.

d)Classicalimmunization.

e)Bondswaps.

(a)3Whichofthefollowingisamatchedfundingtechnique?

a)Classicalimmunization

b)Contingentimmunization

c)Bondswaps

d)Valuationanalysis

e)Interestrateanticipation

(d)4Forabondinvestorselectingabuy-and-holdstrategy,whichofthefollowing

wouldbetheleastimportantconsideration?

a)Termtomaturity

b)Indentureprovisions

c)Couponlevels

d)Liquidity

e)Quality

(a)5Junkbondsarehighyieldbondbondsratedbelow

a)BBB

b)BB.

c)B.

d)CCC

e)CC.

(e)6AstudybyHynesconcerningleveragedbuyoutssuggeststhatfourareasrequire

subjectiveanalysis.Whichareaisnotincludedinthislisting?

a)Inherentbusinessrisk

b)Earningsgrowthpotential

c)Assetredevelopmentpotential

d)Refinancingcapability

e)TheZ-score

(e)7Whichofthefollowingwouldnotnormallybeareasonforabondswap?

a)Increasingcurrentyield

b)Improvingthequalityoftheportfolio

c)Takingadvantageofinterestrateshifts

d)Taxsavings

e)Realigningtheportfolio'sduration

(b)8Ifaninvestorswapsidenticalissuestoestablishaloss,thelossisdisallowedand

thetransactionisknownasa

a)Switchsale.

b)Washsale.

c)Greenshoe.

d)Flashback.

e)Whiteknight.

(C)9Thetermdedication,usedtodescribeportfoliomanagementtechniques,is

referringtoservicingaprescribedsetof

a)Interestpayments.

b)Assets.

c)Liabilities.

d)Pensioners.

e)Sinkingfundpayments.

(d)10Couponreinvestmentriskarisesbecausetheyieldtomaturitycomputation

implicitlyassumesthatallcouponflowswillbereinvestedatthe

a)Couponrate.

b)Effectiverateofinterest.

c)Realizedyieldtomaturity.

d)Promisedyieldtomaturity.

e)Existingyieldasthecouponsarepaid.

(b)11Assumingnochangeininterestratesthedurationofacouponbond

a)Staysconstant.

b)Declinesmoreslowlythanthetermtomaturity.

c)Declinesmorequicklythanthetermtomaturity

d)Increasesataslowerratethanthetermtomaturity.

e)Changesinlinewiththetermtomaturity.

(C)12Incore-plusbondmanagement

a)Seventyfivepercentoftheportfolioisallocatedtoanequityindex,andthe

balancetoabondindex.

b)Seventyfivepercentoftheportfolioisallocatedtoabondindex,andthe

balancetoanequityindex.

c)Seventyfivepercentoftheportfolioisallocatedtoabondindex,andthe

balancetoactivelymanagedbondsectors.

d)Seventyfivepercentoftheportfolioisallocatedtoactivelymanagedbond

sectors,andthebalancetoabondindex.

e)Noneoftheabove.

(a)13Ataxswapinvolvesswappingoutofa

a)Bondtorealizecapitallosses,intoacomparablebond.

b)Lowcouponbond,intoacomparablehighcouponbond.

c)Highcouponbond,intoacomparablelowcouponbond.

d)Bondthatisunderpriced,intoacomparablebondthatisoverpriced.

e)Bondthatisoverpriced,intoacomparablebondthatisunderpriced.

(e)14Asubstitutionpickupswapinvolvesswappingoutofa

a)Bondtorealizecapitallosses,intoacomparablebond.

b)Lowcouponbond,intoacomparablehighcouponbond.

c)Highcouponbond,intoacomparablelowcouponbond.

d)Bondthatisunderpriced,intoacomparablebondthatisoverpriced.

e)Bondthatisoverpriced,intoacomparablebondthatisunderpriced.

(b)15Apureyieldpickupswapinvolvesswappingoutofa

a)Bondtorealizecapitallosses,intoacomparablebond.

b)Lowcouponbond,intoacomparablehighcouponbond.

c)Highcouponbond,intoacomparablelowcouponbond.

d)Bondthatisunderpriced,intoacomparablebondthatisoverpriced.

e)Bondthatisoverpriced,intoacomparablebondthatisunderpriced.

(a)16Inabarbellstrategy

a)Onehalfoffundsareinvestedinshortdurationbondsandthetestinlong

durationbonds.

b)Seventyfivepercentoffundsareinvestedinshortdurationbondsandthe

testinlongdurationbonds.

c)Twentyfivepercentoffundsareinvestedinshortdurationbondsandthe

testinlongdurationbonds.

d)Anequalamountoffundsareinvestedinawiderangeofmaturities.

e)Noneoftheabove.

(d)17Inaladderstrategy

a)Onehalfoffundsareinvestedinshortdurationbondsandthetestinlong

durationbonds.

b)Seventyfivepercentoffundsareinvestedinshortdurationbondsandthe

testinlongdurationbonds.

c)Twentyfivepercentoffundsareinvestedinshortdurationbondsandthe

testinlongdurationbonds.

d)Anequalamountoffundsareinvestedinawiderangeofmaturities.

e)Noneoftheabove.

MULTIPLECHOICEPROBLEMS

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Thefollowinginformationisgivenconcerningapureyieldpick-upswap:Youcurrently

holda20year,Aa9percentcouponbondpricedtoyield11percent.Asaswap

candidateyouareconsideringa20year,Aa11percentcouponbondpricedtoyield

11.75percent.Assumeareinvestmentat11.75percent,semiannualcompounding,anda

one-yearworkoutperiod.

CurrentBondCandidateBond

DollarInvestment$839.54$942.67

Coupon90.00110.00

ionOneCoupon2.64?

PrincipalValueatYearEnd841.959

TotalAccrued934.59?

RealizedCompoundYield11.0182?

(C)1Theinterestononecouponforthecandidatebondis

a)$2.97

b)$3.03

c)$3.23

d)$3.37

e)$3.49

(d)2Therealizedcompoundyieldonthecandidatebondis

a)7.32%

b)11.00%

c)11.02%

d)11.75%

e)12.10%

(d)3Thevalueoftheswapis_______________basispointsinoneyear.

a)32.3

b)48.7

c)55.8

d)73.2

e)144.3

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Thefollowinginformationisgivenconcerningasubstitutionswap.Youcurrentlyholda

25year,Aa9percentcouponbondpricedtoyield11percent.Asaswapcandidateyou

areconsideringa25year,Aa9percentcouponbondpricedtoyield11.50percent.

Assumeareinvestmentrateof11percent,semiannualcompounding,andaone-year

workoutperiod.

CurrentBondCandidateBond

DollarInvestment$830.719

Coupon90.0090.00

ionOneCoupon2.482.48

PrincipalValueatYearEnd832.10797.46

TotalAccrued924.58889.94

TotalGain93.89?

GainperInvestedDollar99

RealizedCompoundYield?9

(c)4Thedollarinvestmentinthecandidatebondis

a)$812.57

b)$803.22

c)$795.89

d)$746.83

e)$700.01

(d)5Therealizedcompoundyieldonthe,currentbondis

a)15.50%

b)11.60%

c)11.30%

d)11.00%

e)9.00%

(c)6Thevalueoftheswapis__________basispointsinoneyear.

a)18.4

b)23.3

c)48.6

d)46.5

e)46.8

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Thefollowinginformationisgivenconcerningapureyieldpick-upswap:Youcurrently

holda20year,Aa8percentcouponbondpricedtoyield10percent.Asaswap

candidateyouareconsideringa20year,Aa1()percentcouponbondpricedtoyield

10.75percent.Assumeareinvestmentrateof12.00percent,semiannualcompounding,

andaone-yearworkoutperiod.

CurrentBondCandidateBond

DollarInvestment$828.41$938.83

Coupon80.00100.00

ionOneCoupon2.49

PrincipalValueatYearEnd831.32?

TotalAccrued913.729

RealizedCompoundYield10.5547?

(b)7Theinterestononecouponforthecandidatebondis

a)$2.40

b)$2.75

c)$9.60

d)$11.00

e)$50.00

(d)8Thevalueoftheswapisbasispointsinoneyear

a)40.4

b)60.6

c)80.8

d)20.5

e)100.1

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Thefollowinginformationisgivenconcerningasubstitutionswap.Youcurrentlyholda

25year,Aa8percentcouponbondpricedtoyield10percent.Asaswapcandidateyou

areconsideringa25year,Aa8percentcouponbondpricedtoyield10.50percent.

Assumeareinvestmentrateof10percent,semiannualcompounding,andaone-year

workoutperiod.

CurrentBondCandidateBond

DollarInvestment$817.44?

Coupon80.0080.0()

ionOneCoupon2.002.20

PrincipalValueatYearEnd819.23782.33

TotalAccrued901.23864.53

TotalGain83.79?

GainperInvestedDollar9?

RealizedCompoundYield??

(a)9Thedollarinvestmentinthecandidatebondis

a)$780.34

b)$1483.25

c)$1361.54

d)$1413.95

e)$1000.00

(d)10Therealizedcompoundyieldonthecurrentbondis

a)6.00%

b)7.00%

c)8.00%

d)10.00%

e)12.00%

(e)11Thevalueoftheswapis___________basispointsinoneyear.

a)26.91

b)26.25

c)31.25

d)41.25

e)51.25

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Thefollowinginformationisgivenconcerningapureyieldpick-upswap:Youcurrently

holda20year,Aa2percentcouponbondpricedtoyield9.5percent.Asaswap

candidateyouareconsideringa20year,Aa14percentcouponbondpricedtoyield

10.00.Assumeareinvestmentrateof11percent,semiannualcompounding,andaone-

yearworkoutperiod.

CurrentBondCandidateBond

DollarInvestment$1222.04$1343.18

Coupon110.00140.00

ionOneCoupon3.3?

PrincipalValueatYearEnd1218.04?

TotalAccrued1341.34?

RealizedCompoundYield9.5351%?

(c)12Theinterestononecouponforthecandidatebondis

a)$70.00

b)$3.58

c)$3.85

d)$8.35

e)$5.38

(C)13Thevalueoftheswapisbasispointsinoneyear

a)0.004921

b)0.4921

c)4.921

d)49.21

e)492.1

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Thefollowinginformationisgivenconcerningasubstitutionswap.Youcurrentlyholda

25year,Aa1()percentcouponbondpricedtoyield12percent.Asaswapcandidateyou

areconsideringa25year,Aa10percentcouponbondpricedtoyield13percent.

Assumeareinvestmentrateof12percent,semiannualcompounding,andaone-year

workoutperiod.

CurreelBondCandidateBond

DollarInvestment$842.389

Coupon100.00100.0()

ionOneCoupon3.02.75

PrincipalValueatYearEnd843.50780.46

TotalAccrued946.50883.21

TotalGain104.12?

GainperInvestedDollar?9

RealizedCompoundYield99

(d)14Thedollarinvestmentinthecandidatebondis

a)$1515.36

b)$853.50

c)$780.46

d)$779.13

e)$877.53

(b)15Therealizedcompoundyieldonthecurrentbondis

a)10.00%

b)11.9985%

c)12.9397%

d)13.9399%

e)12.3585%

(a)16Thevalueoftheswapisbasispointsinoneyear.

94.14

a)

b)0.9414

cd)9.414

o941.4

0.09414

THEFOLLOWINGINFORMATIONAPPLIESTOTHENEXTTHREEPROBLEMS

Considertwobonds,bothpaysemiannualinterest.BondAhasacouponof8%peryear,

maturityof3()years,yieldtomaturityof9%peryear,andafacevalueof$1000.BondBhasa

couponof8%peryear,maturityof30years,yieldtomaturityof9.5%peryear,andafacevalue

of$1000.

(c)17CalculatethepercentagegainperinvesteddollarforBondAassumingaoneyear

horizon,andareinvestmentrateof9%peryear.

a)9.73%

b)9.93%

c)9.20%

d)8.20%

e)9.50%

(a)18CalculatethepercentagegainperinvesteddollarforBondBassumingaoneyear

horizon,andareinvestmentrateof9.5%peryear.

a)9.73%

b)9.93%

c)9.20%

d)8.20%

e)9.50%

(e)19CalculatethevalueofswapoutofBondAintoBondB.

a)0.41%

b)1.73%

c)0.23%

d)0.00%

e)0.51%

THEFOLLOWINGINFORMATIONAPPLIESTOTHENEXTTHREEPROBLEMS

Considertwobonds,bothpayannualinterest.BondChasacouponof6%peryear,maturityof

5years,yieldtomaturityof6%peryear,andafacevalueof$1000.BondDhasacouponof8%

peryear,maturityof15years,yieldtomaturityof6%peryear,andafacevalueof$1000.

(b)20CalculatethemodifieddurationforBondC.

a)4.47

b)4.22

c)4.34

d)5

e)Noneoftheabove

(c)21CalculatethemodifieddurationforBondD.

a)9.5

b)9.8

c)9.2

d)15

e)Noneoftheabove

(b)22Assumethatyourinvestmenthorizonis6yearsandyourportfolioconsistsonlyof

BondCandBondD.Indicatetheproportionsinvestedineachbond,sothatthe

portfolioisimmunized.

a)50%inBondCand50%inBondD

b)64%inBondCand36%inBondD

c)36%inBondCand64%inBondD

d)100%inBondD

e)Noneoftheabove

CHAPTER20

ANSWERSTOPROBLEMS

1-3

CurrentBondCandidateBond

DollarInvestment$839.54$942.67

Coupon90.00110.00

ionOneCoupon2.643.23

PrincipalValueatYearEnd841.95943.46

TotalAccrued934.591056.69

RealizedCompoundYield11.018211.7502

Currentprices:Pcurrcnt=45(PVIFA5.5%,4o)+1OOO(PVIF5.5%,4O)

=45(16.04612)+1000(0.11746)=$839.54

Pcandidatc=55(PVIFA5.875%,40)+1()0()(PVIF5.875%,40)

=55(15.28645)+1000(0.10192)=$942.67

Year-endprices:Pcurrcnt=45(PVIFA5.5%,38)+100()(PVIF5.5%,38)

=45(15.80474)+1000(0.13074)=$841.95

Pcandidate=55(PVIFA5.875%,38)+1()00(PVIF5.875%,38)

=55(15.07662)+1000(0.11425)=$943.46

1Interest=($110.00/2)x(0.1175/2)=$3.23

2CurrentBond

Percentagegain=($934.59-$839.54)/$839.54=0.11321676

Realizedyieldperperiod=(1+0.11321676),/2-1=0.0550909

Realizedcompoundyield=2(0.0550909)=0.110182=11.0182%

CandidateBond

PercentageGain=($1056.69?$942.67)/$942.67=0.12095431

Realizedyieldperperiod=(1+0.12095431)1/2-1=0.0587513

Realizedcompoundyield=2(0.0587513)=0.117502=11.75%

3Swapvalue=11.7502-11.0182=0.732=73.2basispoints

4-6

CurrentBondCandidateBond

DollarInvestment$830.71$795.89

Coupon90.0090.00

ionOneCoupon2.482.48

PrincipalValueatYearEnd832.10797.46

TotalAccrued924.58889.94

TotalGain93.8994.05

GainperInvestedDollar0.113040.11817

RealizedCompoundYield11.001%11.4871%

Currentprices:Pcurrent=45(PVIFA5.s%,50)+1OO()(PVIF5.5%,5O)

=45(16.9315)+1000(0.0688)=$830.71

4Ccandidate=45(PVIFA5.75%,50)+l()0()(0.PVIF5.75%,50)

=45(16.3288)+1000(0.0611)=$795.89

Year-endprices:Pcurrent=45(PVIFA5.5%,48)+1000(PVIF5.5%,48)

=45(16.7902)+1000(0.0765)=$832.10

Pcandidate=45(PVIFAs.75%,48)+1000(PVIF5.75%,48)

=45(16.2031)+1000(0.0683)=$797.46

5CurrentBond

Percentagegain=($924.58-$83().68)/$830.68=0.113040

Realizedyieldperperiod=(1+0.113040)1/2-1=0.055007

Realizedcompoundyield=2(0.055007)=11.00%

CandidateBond

Percentagegain=($889.94-$795.89)/$795.89=0.118169

Realizedyieldperperiod=(1+0.118169嚴(yán)-1=.057435

Realizedcompoundyield=2(0.057435)=0.114871=11.4871%

6Sw叩value=11.4871-11.001=.0486=48.6basispoints

7and8

CurrentBondCandidateBond

DollarInvestment$824.41$938.83

Coupon80.00100.00

ionOneCoupon2.42.75

PrincipalValueatYearEnd831.32939.81

TotalAccrued913.721042.56

RealizedCompoundYield10.554710.7554

Currentprices:Pcurrent=40(PVIFA5%,40)+1000(PVIF5..40)

=40(17.1591)+1000(0.1420)=$824.41

Pcandidate=50(PVIFA5.375%,40)+1000(PVIF5,375%,40)

=50(16.3132)+1000(0.1323)=$938.83

Year-endprices:Pcurrent=40(PVIFA5%,38)+1000(PVIF5%,38)

=40(16.8679)+1000(0.1566)=$831.32

Pcandidate=50(PVIFA5.375%,38)+1000(PVIF5,375%,38)

=50(16.0602)+1000(0.1368)=$939.81

7Interest=($100.00/2)x(0.12/2)=$2.75

8CurrentBond

Percentagegain=($913.72-$824.41)/$824.41=0.108332

Realizedyieldperperiod=(1+0.108332)172-1=0.0527773

Realizedcompoundyield=2(0.02773)=0.105547=10.5547%

CandidateBond

Percentagegain=($1042.56-$938.83)/$938.83=0.110446

Realizedyieldperperiod=(1+0.110446)1/2-1=0.053797

Realizedcompoundyield=2(0.053797)=0.107594=10.7594%

Swapvalue=10.7594-10.5547=0.2047=20.47basispoints

9-11

CurrentBondCandidateBond

DollarInvestment$817.44$780.34

Coupon80.0080.00

ionOneCoupon2.002.20

PrincipalValueatYearEnd819.23782.36

TotalAccrued901.23864.53

TotalGain83.7984.19

GainperInvestedDollar0.1025030.107889

RealizedCompoundYield10.003%10.5126

Currentprices:Pcurrem=40(PVIFA.5%,50)+1000(PVIFs%,50)

=40(18.2559)+1000(0.0872)=$817.44

9Pcandidate=40(PVIFA5.25%,50)+1000(PVIF5.25%,50)

=40(18.5728)+1000(0.0774)=$780.34

Year-endprices:Pcurrent=40(PVIFA5%,48)+1000(PVIF5%,48)

=40(18.0772)+10()0(0.0961)=$819.23

Pcandidate=40(PVIFAs.25%,48)+1000(PVIF5.25%,48)

=40(17.4139)+1000(0.0858)=$782.36

1()CurrentBond

Percentagegain=($901.23-$817.44)/$817.44=0.102503

Realizedyieldperperiod=(1+().102503)1/2-1=.050001

Realizedcompoundyield=2(05001)=0.10001=10.00%

CandidateBond

Percentagegain=($864.53-$780.34)/$780.34.=0.107889

Realizedyieldperperiod=(1+0.107889)1/2-1=.052563

Realizedcompoundyield=2(052563)=0.105126=10.5126%

11Swapvalue=10.5126-10.0001=0.5125=51.25basispoints

12and13