Cash flow yield (An immunization strategy lock): It is not the weighted average of the yields to maturity. This difference between cash flow yield and yield to maturity arises because of the steepness in the yield curve.
CFY和YTM不是都是IRR的概念么？为什么会有区别？
vivian_duan918 · 2020年08月10日
Cash flow yield (An immunization strategy lock): It is not the weighted average of the yields to maturity. This difference between cash flow yield and yield to maturity arises because of the steepness in the yield curve.
CFY和YTM不是都是IRR的概念么？为什么会有区别？
WallE_品职答疑助手 · 2020年08月11日
同学你好，
Portfolio IRR comes from the combination of bonds with different maturity. The avg YTM is calculated as weight of allocation for each bond multiplied by each bond’s YTM. Actually this implies IRR > Avg YTM.
当收益率曲线发生移动的时候，他们就会产生差异，这里arises并不是说的CF yield一定会比YTM高的意思，而是产生的意思，具体哪个高得看是怎么样的变动。
综上所说，
When the curve changes, this affects portfolio IRR according to the direction of each bond in the portfolio. But avg YTM again can be computed by the mkt value (allocation weight) times YTM of each bond after the change of yield curve.
您可以举例子想一下，一般长期的利率高，所以如果长期的变动过大，会导致CF yield受到的影响更大，YTM的加权平均反而会变动的比较少。