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monicaaaaa · 2025年05月27日

扩展一下

  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

看了发亮老师关于reinvestment risk的说明，想了解一下这三种组合对于price risk的影响是否也有区别？

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1 个答案

发亮_品职助教 · 2025年05月27日

有区别。price risk大小排序是：barbell > laddered > bullet

三个组合的所有条件都一样，然后才比较他们的其他属性哈。所以三个组合的投资期一致，然后我们比较他们的reinvestment risk才有可比性。

在投资期一致的情况下，投资期差不多就是在bullet的到期日附近，所谓的bullet cash flow居中，这个居中其实也理解成是在投资期附近。所以bullet portfolio基本不存在price risk与reinvestment risk。


barbell的话，投资期到期时，还有大笔未到期的cash flow，所以面临最大的price risk。

而laddered组合的现金流比较均匀，虽然很后期也有cash flow，但权重占比小，所以对应的price risk相对小一点，在三个组合中是排第2。

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