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Feeling · 2021年11月15日

请问怎么解释A

  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

B的convexity比C小，但是因为经常有到期的cash flow，reinvestment risk应该要大些吧？比如zero coupon相较于coupon bearing bond就没有reinvestment risk。请问怎么衡量reinvestment risk？

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pzqa015 · 2021年11月15日

嗨，努力学习的PZer你好：


reinvestment risk是收益率曲线变动，导致收到coupon再投资收益变的不确定的风险，因为barbell期初有占比很大的现金流入，所以面临再投资风险会很大，而laddered 现金流均匀分布于各个期限，每笔现金流相对于laddered所有现金流的占比相对低于barbell期初现金流相对与barbell所有的现金流，由于laddered portfolio现金流分布更均匀，所以收益率曲线变动时，不同时间点现金流的再投资盈亏更有可能相互抵消，所以它的再投资风险是小于barbell的。

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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！

pzqa015 · 2021年11月15日

嗨，努力学习的PZer你好：


不可以的，不能用convexity衡量reinvestment risk。

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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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