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和棋 · 2022年04月07日

A为什么错

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000016

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：

Correct Answer: B

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.

A为什么错

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1 个答案

pzqa015 · 2022年04月08日

嗨，爱思考的PZer你好：


这道题考察的是bullet、barbell和laddered三个portfolio性质的比较。

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，也就是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。

Barbell、laddered、bullet这3个Portfolio放在一起比较的时候，都是其他条件一致，唯一的差别就来自现金流的发生时间不同。所以在投资期一样的时候，Barbell早期收到占比很大的现金流，于是面临的再投资风险会更大一些；Bullet的现金流就比较集中在投资期结束的附近，所以再投资风险就小一点，laddered居中。

A选项说反了，相对于portfolio C（barbell），portfolio B(laddered)的reinvestment risk应该是更小，而不是higher。

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