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🌻🎀LINDA🎀🌻 · 2023年12月29日

C错在哪?

Later, Adams and junior portfolio manager Frank Neeson review the fixed-income portfolios of two new defined benefit plan clients, Lawson Doors & Cabinets, Inc., and Wharton Farms. Lawson’s plan has 30 participants, who are mostly experienced craftsmen and machinists, whereas Wharton has over 100 participants in its plan. The average participant age is 15 years younger for the Wharton plan compared with the Lawson plan. In both plans, participants receive a monthly benefit upon retirement based on average final pay and have no option for a lump sum distribution. The two plans’ portfolio characteristics are shown in Exhibit 2.



1 个答案

pzqa31 · 2023年12月29日

嗨,努力学习的PZer你好:


“The durations for almost half of the bonds in the Wharton portfolio are clustered around 4 years, and the durations of the remainder around 12 years,

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W同学的portfolio是一个barbell。


while the durations of the Lawson portfolio bonds are clustered between 6 years and 8 years.

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L同学的portfolio是一个bullet。


In general, a laddered bond portfolio approach would improve liquidity management for both,

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这句话意思是将两个portfolio改造成laddered portoflio会提高他们的流动性。


although the Lawson portfolio would experience an increase in cash flow reinvestment risk and the Wharton portfolio would experience a decrease in convexity.”

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尽管bullet portfolio的reinvestment risk会上升,barbell portfolio的convexity会下降。


这段话的表述都是正确的。


对应的知识点:

Laddered portfolio的现金流是最分散,如果比较convexity,除了现金流分散情况以外,还要限制duration与barbell、bullet相等,那么laddered 的convexity就不是最大的了。

同学记住这个结论:

如果mac duration相同,则convexity:barbell>laddered>bullet。

Barbell、laddered、bullet这3个Portfolio放在一起比较的时候,都是其他条件一致,唯一的差别就来自现金流的发生时间不同。所以在投资期一样的时候,Barbell早期收到占比很大的现金流,于是面临的再投资风险会更大一些;Bullet的现金流就比较集中在投资期结束的附近,所以再投资风险就小一点,laddered居中。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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