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大张伟 · 2022年12月14日

B我知道为什么对，但是A和C具体错在哪里呢

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000304

问题如下：

Based on Exhibit 2, relative to Portfolio C, Portfolio B:

选项：

A.

has higher cash flow reinvestment risk.

B.

is a more desirable portfolio for liquidity management.

C.

provides less protection from yield curve shifts and twists.

解释：

B is correct.

Portfolio B is a laddered portfolio with maturities spread more or less evenly over the yield curve. A desirable aspect of a laddered portfolio is liquidity management. Because there is always a bond close to redemption, the soon-to-mature bond can provide emergency liquidity needs. Barbell portfolios, such as Portfolio C, have maturities only at the short-term and long-term ends and thus are much less desirable for liquidity management

B我知道为什么对，但是A和C具体错在哪里呢


reinvestment risk 大不大的衡量指标是什么，是convexity么？那应该是越大convexity对应reinvestment越小？

同样的，也是convexity越大的，对应的针对yield curve改变时的protection越大么？这个protection怎么去理解比较好？


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已采纳答案

pzqa015 · 2022年12月15日

嗨，从没放弃的小努力你好：


B是laddered portfolio，C是barbell portfolio。

对于C选项。

结论是，laddered portfolio可以provide more protection from yield curve shifts and twists.

yield curve shift and twist是指收益率曲线的非平行移动，由于laddered portfolio现金流分散更均匀，所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消，所以，在面对收益率曲线非平行移动时，laddered portfolio可以提供更好的protectation,这是原版书的结论。


对于A选项。

reinvestment risk是收益率曲线变动，导致收到coupon再投资收益变的不确定的风险，因为barbell期初有占比很大的现金流入，所以面临再投资风险会很大，而laddered 现金流均匀分布于中间期限，每笔现金流相对于laddered所有现金流的占比相对低于barbell期初现金流相对与barbell所有的现金流，也就是laddered portfolio现金流分布更均匀，所以收益率曲线变动时，不同时间点现金流的再投资盈亏更有可能相互抵消，所以它的再投资风险是小于barbell的。



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