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Roger · 2021年05月15日

C的convexity不是高于B么？

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000016

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.

B的convexity低于C，B涨多跌少的性质弱于C,C选项的描述这么看应该也是对的才对吧？
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1 个答案

pzqa015 · 2021年05月15日

嗨，从没放弃的小努力你好：


同学你好，你描述的convexity是正确的，C选项说反了，laddered protect from more shifts and twists，因为它的cash flow essentially diversified across the time spectrum，这是书上的结论，请记住。

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