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Pavel Korchagin · 2025年03月28日

不是说volatility大时babell好吗?

NO.PZ2018120201000016

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:

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

为什么c不对

1 个答案

发亮_品职助教 · 2025年03月31日

选项C正确的表述应该是:

portfolio B (Ladderred) provides more protection from yield curve shifts and twists...


如果是做active trading/主动投资策略的话,确实是volatility越大,convexity大的组合表现更好。

三个组合的duration条件一样,barbell的convexity在3个组合里最大,所以volatility比较大的时候,barbell组合的表现最好。


但是,这道题没有讨论主动投资策略哈,也没有说利率volatility的变动情况。这道题就是单纯比较三个组合的特征。


这道题是原版书给的结论:在利率曲线发生非平行移动时,ladderred组合可以提供更多的保护more protection from yield curve shifts and twists.


举个例子说明一下原理。

比如,barbell的组合由2个头寸构成,2-year与15-year。

Barbell的头寸就主要集中在短期和长期,所以2-year的利率改变、15-year的利率改变对组合的影响极大。组合2-year与15-year的key rate duration非常大。


假设发生以下2种利率非平行移动的情景。

情景1:10-year的利率变动,其他利率未改变。这时候,这个barbell组合不受影响。因为影响barbell的利率主要是2-year与15-year的利率,这两个关键利率没变。


情景2:利率曲线上2-year与15-year的利率下降,其他利率不变。这时候barbell组合受到极大的影响。因为恰好是现金流集中的关键利率改变了。


以上都是非平行移动,但是不同的情景下,barbell的表现不一致。要么受到极大影响,要么基本不受影响。


其实本质原因就是:barbell的现金流过于集中在特定的利率点位上了。只要这些利率点位改变,barbell就会受到极大影响。

而如果这些关键利率没有变动,barbell就基本不受影响。


bullet也是一样的原理。bullet的cash flow过于集中在中期。非平行移动时,只要中期利率没变,那bullet不受影响。

但只要中期利率改变,bullet就会受到极大的影响。

于是,在不同的非平行移动情景下,barbell与bullet的表现就非常极端。要么不受影响,要么受到极大影响。


反观对于ladderred portfolio,cash flow是比较均匀地分散在各个期限,不会聚集在某个利率点位上,各个利率点位上的cash flow权重都很小。

所以不管是啥样的利率曲线非平行移动,在各式各样的非平行移动下,ladderred portfolio多少都会受到一定影响,影响都很小,且影响大小都差不多。


这说明在各式各样的非平行移动下,laddered组合表现很稳定,基本一致。这种稳定就称为more protection from yield curve shifts and twists.

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