2020 CFA L3 原版书固定收益课后习题.pdf

Practice Problems 37 PRACTICE PROBLEMS The following information relates to Questions 1–6 Cécile Perreaux is a junior analyst for an international wealth management firm. Her supervisor, Margit Daasvand, asks Perreaux to evaluate three fixed-income funds as part of the firm’s global fixed-income offerings. Selected financial data for the funds Aschel, Permot, and Rosaiso are presented in Exhibit 1. In Perreaux’s initial review, she assumes that there is no reinvestment income and that the yield curve remains unchanged. Exhibit 1 Selected Data on Fixed-Income Funds Aschel Permot Rosaiso Current average bond price $117.00 $91.50 $94.60 Expected average bond price in one $114.00 $96.00 $97.00 year (end of Year 1) Average modified duration 7.07 7.38 6.99 Average annual coupon payment $3.63 $6.07 $6.36 Present value of portfolio’s assets $136.33 $68.50 $74.38 (millions) Bond type* Fixed-coupon bonds 95% 38% 62% Floating-coupon bonds 2% 34% 17% Inflation-linked bonds 3% 28% 21% Quality* AAA 65% 15% 20% BBB 35% 65% 50% B 0% 20% 20% Not rated 0% 0% 10% Value of portfolio’s equity (millions) $94.33