开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Shawnxz · 2024年04月25日

B是laddered，现金流更多，不会会有更多的reinvest risk吗？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000016

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：

Correct Answer: B

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是laddered，现金流更多，不会会有更多的reinvest risk吗？怎么理解

添加评论
1 个答案
已采纳答案

pzqa31 · 2024年04月25日

嗨，从没放弃的小努力你好：


在Macaulay duration一致的情况下，Barbell的Reinvestment risk最大、Laddered次之、Bullet最小。这个定性的结论是一定成立的，所以可以记住这个结论。


可以这么理解：

用这三个Portfolio去匹配单期负债，这样这三个组合的投资期一致，比较再投资风险才有意义。让资产的Macaulay duration等于负债的Due date，实现匹配单期负债。Bullet资产的现金流比较集中，集中在资产的Macaulay duration左右，也就是集中在负债到期日附近，所以差不多Bullet收到现金流之后、再投资的时间很短，就可以偿还负债了，因此Bullet portfolio的Reinvestment risk最小；而Barbell portfolio的现金流最分散，集中在短期、和长期，且短期的现金流权重也很大，所以资产的现金流离其Macaulay duration比较远，也就是现金流离负债的到期日很远，所以短期的大笔现金流到期后，还需要进行再投资直到负债到期，所以Barbell资产面临最大的再投资风险；而对于Laddered portfolio，现金流较为均匀地分布在Macaulay duration左右，且每笔现金流权重较小，所以提前到期、需要进行再投资的现金流相对Barbell就比较小了，于是再投资风险就相对较小、处于三个组合的居中位置。

 

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 1

    关注

  • 240

    浏览
相关问题

NO.PZ2018120301000016 问题如下 Basen Exhibit 2, relative to Portfolio Portfolio A.hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. C.provis less protection from yielcurve shifts antwists. CorreAnswer: is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. 老师好！能否一下A“hhigher cash flow reinvestment risk.”该怎么理解。

2024-05-21 23:49 1 · 回答

NO.PZ2018120301000016 问题如下 Basen Exhibit 2, relative to Portfolio Portfolio A.hhigher cash flow reinvestment risk. is a more sirable portfolio for liquity management. C.provis less protection from yielcurve shifts antwists. CorreAnswer: is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. 我想关于convexity的 问题可否这样理解，barbell 的convexity 更大，所以当利率曲线平行移动的时候，保护债券的效果更好。当债券非平行移动的时候，convexity越大的债券，面临的structure risk 更大

2024-05-12 16:49 1 · 回答

NO.PZ2018120301000016问题如下 Basen Exhibit 2, relative to Portfolio Portfolio A.hhigher cash flow reinvestment risk.is a more sirable portfolio for liquity management.C.provis less protection from yielcurve shifts antwists. CorreAnswer: is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. 我还是不太理解，convexity越大是否相对更好呢？更能抵御twist变化？究竟什么时候要选convexity大的债券呢？

2024-03-26 17:41 3 · 回答

NO.PZ2018120301000016问题如下 Basen Exhibit 2, relative to Portfolio Portfolio A.hhigher cash flow reinvestment risk.is a more sirable portfolio for liquity management.C.provis less protection from yielcurve shifts antwists. CorreAnswer: is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. reinvestment risk怎么看

2023-07-27 09:36 1 · 回答