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wendysakura · 2019年11月28日

问一道题：NO.PZ2019103001000016

  1. CFA III
  2. Fixed Income

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.

这道题只给出了3年和6年，是怎么能看出来是laddared portfolio呢？谢谢

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1 个答案

发亮_品职助教 · 2019年11月30日

嗨，从没放弃的小努力你好：


在Duration一致的情况下，比较三个Portfolio的现金流相对分布，就可以判断出Portfolio的类型了。本身Laddered/Bullet/Barbell也可以是相对概念。

第一个是可以看自身的现金流分布情况，第二个是Laddered/Bullet/Barbell现金流都是相对的，可以结合着3个组合来看。

本题三个Portfolio的Macaulay duration相似，在5.35左右。

然后Portfolio A是4.5 year和7.0year构建的Mac.Duration=5.35的组合。成份债券的到期日离5.35比较近，尤其是4.5，可以认为是Portfolio A的现金流相对集中在Macaulay duration=5.35附近，所以可以初步判断是Bullet portfolio:

Portfolio B是3.0；6.0；8.5的债券，自身看每期现金流差不多有2.5、3年的间隔，现金流也没有集中过于在5.35附近（相比Portfolio A），现金流比较均匀，和Portfolio A/C相比，现金流更加匀称，所以可以判断是Laddered portfolio；

Portfolio C是一个1.5、11.5，成份债券的现金流离5.35很远，一长一短所以是Barbell。

构建一个Mac.Duration=5.35的组合，相对于Portfolio A/C，Portfolio B的现金流更加均匀所以是一个Laddered。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


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