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Lucrecia1004 · 2022年06月14日

请问C为什么不对

  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.

请问C为什么不对

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2 个答案

pzqa015 · 2022年07月12日

嗨，从没放弃的小努力你好：


你说的提供涨多跌少的保护有个前提，是收益率曲线平行移动，而本题说的是收益率曲线非平行移动，由于laddered portfolio现金流分散更均匀，所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消，所以，在面对收益率曲线非平行移动时，laddered portfolio可以提供更好的protectation,这是原版书的结论。

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pzqa015 · 2022年06月17日

嗨，爱思考的PZer你好：


yield curve shift and twist是指收益率曲线的非平行移动，由于laddered portfolio现金流分散更均匀，所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消，所以，在面对收益率曲线非平行移动时，laddered portfolio可以提供更好的protectation,这是原版书的结论。

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加油吧，让我们一起遇见更好的自己！

雪梨周 · 2022年07月12日

你好， 想问一下C 为什么不对？ 从convexity 角度出发 B小于C high convexity portfolio可以在利率变化时提供涨多跌少的保护

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