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Spencer · 2022年07月14日

Portfolio C has a definite barbell structure compared with those of Portfolios A and B

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000014

问题如下：

The second project for Serena is to help Trey immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Serena suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.


Based on Exhibit 2, the portfolio with the greatest structural risk is:

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: C

C is correct. Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and non-parallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.

老师请问题目里怎么看出来Portfolio C has a definite barbell structure compared with those of Portfolios A and B这个信息的？

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1 个答案

pzqa015 · 2022年07月16日

嗨，爱思考的PZer你好：


A的现金流集中在第4.5年和第7年

B的现金流平均分布在第3年、6年和8.5年

C的现金流集中在第1.5年和第11.5年

根据三个Portfolio的现金流结构，A是bullet portfolio，B是laddered portfolio，C是barbell portfolio。

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