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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。

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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。

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