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Tong · 2025年05月19日

C选项为什么不对，convextity 更大不是提供更多保护吗

  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

C选项为什么不对，convextity 更大不是提供更多保护吗

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1 个答案

发亮_品职助教 · 2025年05月20日

和convexity没有关系。convexity是利率平行移动的指标，这道题C说的yield curve shifts and twists是利率曲线的非平行移动。

利率曲线非平行移动的影响大小要看cash flow的分布


选项C对应的句子是laddered组合的特征，即，laddered组合在利率曲线发生shifts and twists这类非平行移动时，能够提供更多的保护。本质原因是laddered组合的cash flow分布比较均匀（across the time spectrum，即各个期限的cash flow都有）。这是原句：


举个例子，barbell组合由3-year和20-year组合。

现在只考虑非平行移动，如果是10-year的利率上升，其他利率不变，这时候barbell组合不会受到影响。因为barbell的cash flow集中在3-year和20-year，这两点是关键利率，而barbell组合没有在10-year上有现金流，所以10-year利率的改变不影响。

第2种非平行移动，假设其他利率不变，3-year和20-year的利率上升。这时候barbell组合会受到极大的影响。因为是关键利率发生了改变。

可以发现，非平行移动对barbell的影响，要么影响极大，要么没有影响。所以在非平行移动时，barbell的表现就非常极端，不稳定。bullet也是同理。


本质原因就是，barbell和bullet的现金流过于集中在某些利率点上，只要非平行移动时，这些关键利率改变了，组合会受到极大影响。只要非平行移动不会涉及关键利率，组合不受影响。所以，在不同形式的非平行移动下，barbell/bullet组合的影响非常极端。


反观laddered，因为现金流是diversified across time spectrum，各个利率期限上都有cash flow，且权重不太大。所以不管是啥样的非平行移动，laddered组合都会受到影响，但影响都不大。于是在各式各样的非平行移动下，laddered的表现都差不多。这种差不多就是稳定的体现，即原版书说的more protection from yield curve shifts and twists.

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