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005 · 2023年05月25日

请问Cash flow yield在本题的作用是？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004105

问题如下：

Which of the portfolios described in Exhibit 2 would most likely be recommended by Maestre?

选项：

A.Portfolio A B.Portfolio B C.Portfolio C

解释：

Solution

B is correct. The three portfolios have essentially the same cash flow yield. They also have Macaulay durations very close to the horizon for the liability (i.e., 6.5 years). Therefore, the question is one of convexity, and the differences in convexity are meaningful. Although more (positive) convexity is generally desired by fixed-income investors, the goal of ALM is to minimize the dispersion of cash flows around the Macaulay duration and make the portfolio more like the zero-coupon liability it is attempting to immunize. Therefore, Portfolio B should be recommended because it has the lowest convexity. Minimizing the portfolio convexity (i.e., the dispersion of cash flows around the Macaulay duration) makes the portfolio closer to the zero-coupon bond that would provide perfect immunization.

A is incorrect because Portfolio A has a substantially larger convexity than Portfolio B.

C is incorrect because Portfolio C has a substantially larger convexity than Portfolio B.



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1 个答案

pzqa31 · 2023年05月25日

嗨，从没放弃的小努力你好：


首先，我们从cash flow yield（CFY）的含义来理解一下，cash flow yield就是portfolio 的IRR、YTM，如果收益率曲线不变，这个cash flow yield就是realized return。结合免疫策略来思考，我们match single liability时，因为到期要归还负债，所以资产、负债的FV要相等。构建免疫策略条件之一就是资产、负债的PV相等。所以资产、负债的折现率Cash flow yield就必然相等。


以上仅供理解。从考试做题的角度，因为在原版书的免疫策略条件中并没有涉及cash flow yield，所以就按照咱们讲义上讲的免疫策略条件判断即可。

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