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nanaluo · 2025年05月13日

A选项

  1. CFA III
  2. Fixed Income

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

请问A选项怎么判断？

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1 个答案

发亮_品职助教 · 2025年05月13日

这块有个结论，按照reinvestment risk由大到小排序：

barbell > laddered > bullet

即，barbell的reinvestment risk最大，bullet最小，laddered居中。

本题Portfolio C是barbell，portfolio B是Laddered，所以portfolio C的reinvestment risk更大哈。


理解的话是这样，要比较reinvestment risk，那么三个组合的投资期必须要一致，这样才能有比较的基础。

其实投资期就差不多是bullet的到期日，即，bullet组合的cash flow基本集中在投资期结束，意思是，投资期结束时，刚好收到几乎债券的所有现金流，这些现金流无需进行再投资。所以他的reinvestment risk最小。


而barbell，在离投资期结束非常远的早期，有一大笔权重的cash flow到期，这些cash flow要进行再投资直至投资期结束。首先再投资时间比较长，而且需要再投资的cash flow权重很大，这导致面临的再投资风险极大。


对于laddered，现金流分布很均匀，几乎各个期限都有一些cash flow到期，且每笔cash flow的权重都比较小。整体看，早期到期的cash flow权重比较小，同时因为各个期限都有cash flow到期，综合看需要再投资的时间更短，于是面临的再投资风险更小。


于是面临的再投资风险有这样的大小排序：barbell > laddered > bullet

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