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

qygeorge05 · 2024年05月21日

关于第一个选项

  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.

老师好！能否解释一下A选项“has higher cash flow reinvestment risk.”该怎么理解。

添加评论
1 个答案
已采纳答案

pzqa31 · 2024年05月22日

嗨，努力学习的PZer你好：


发亮_品职助教 · 2019/6/2 18:40:01

这三个组合，都是用来匹配负债的，所以这三个组合的基础数据差不多大。

例如，投资期一致、Macaulay duration差不多。且从表格中发现，三个组合，除了现金流分布不同（Barbell/bullet/Laddered），组合的其他条件差不多。

这样，保证了三个组合其他所有条件近似，只有现金流分布不同，所以Reivestment risk的差异就只来自于现金流分布的差异，于是我们就可以直接套用结论，从现金流分布（Barbell、Bullet、Laddered）来看哪个Reinvestment risk最大。


Portfolio B是一个Laddered portfolio，Portfolio C是一个Barbell Portfolio，且Portfolio B和Portfolio C的Macaulay duration差不多；

那就意味着Porfolio C中1.5年期的债券权重非常大，这样才能保证Portfolio C与Portfolio B的Macaulay duration相近。

因为三个组合都是用来匹配负债的，负债的Macaulay duration等于5.34年，所以认为三个Portfolio的投资期一致，差不多都是5.34年。在投资期一致的情况下，因为Barbell在1.5年就有收到了一大笔现金流，所以需要再投资（5.34-1.5=3.84）年。因此，面临的再投资风险更大。

Babell再投资风险大，是因为早期、收到了大笔现金流需要进行再投资。


再看Portfolio B，最早期的大笔现金流发生在第3年，那只需再投资（5.34-3=2.34）年，且从现金流绝对数额上看，Portfolio B最早期的现金流数额小于Portfolio C（Barbell）的最早期现金流数额，所以无论从再投期的期限，还是从需要进行再投资的金额看，Portfolio C的再投资风险更大，因为需要再投资的金额更大，且再投资时间更长。


总结下，这个可以直接当结论使用了，在条件相似的情况下，Barbell的再投资风险最大（早期现金流最多、大笔现金流发生时间最早）、Laddered次之，Bullet最小。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 3

    关注

  • 209

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

2024-04-25 13:30 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