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fanfan · 2021年02月24日

请问A选项

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000304

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laddered portfolio 和barbell 的现金流再投资风险怎么比较？b组合短中期的现金流再投资不应该投资风险更大？谢谢

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发亮_品职助教 · 2021年02月24日

嗨，爱思考的PZer你好：


“请问laddered portfolio 和barbell 的现金流再投资风险怎么比较？”


三个组合的再投资风险排序为：

Barbell Portfolio的再投资风险 > Laddered portfolio的再投资风险 > Bullet portfolio的再投资风险。


“b组合短中期的现金流再投资不应该投资风险更大？”

在相同的投资期下，Barbell的再投资风险最大。

这3个Portfolio的Macaulay duration均为5.35左右，那我们就假设投资期为5.35年；

对于Portfolio c来说，1.5年和11.5年的债券组成Macaulay duration 5.35的Portfolio，那就意味着在1.5年期有很高的权重；

那这样的话，对于这个Portfolio，在1.5年年末就已经收到一大笔现金流了，我们要再继续投资（5.35-1.5）年，因此不但再投资的时间要长，而且金额很大。

对于Portfolio B来说，3年、6年、8.5年期债券组合Macaulay duration=5.35的Portfolio，相比之下，3个债券的权重相对都会更小一些；同时第一笔大额现金流发生在第3年年末，需要再投资的期限相对更短（5.35-3），这样的话，他的再投资时间相对更短，且金额相对更小。


其实这点就是结论：在其他条件一致的情况下，Barbell组合的再投资风险最大，Laddered次之，Bullet最小。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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