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Feeling · 2022年08月17日

请问是否可以这样理解？

  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

现金流越分散，dispersion越高，convexity越大: barbell>laddered>bullet

convexity越大，protection from yield curve change越小:bullet>ladder>barbell

现金流越早到期，reinvestment risk越大: barbell>laddered>bullet

现金流越平均，越是desirable liquidity management:ladder>barbell>bullet

现金流分散和平均也不是一个意思，前者是现金流的时间差大，后者是现金流时间差相似。

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pzqa015 · 2022年08月17日

嗨，努力学习的PZer你好：


现金流越分散，dispersion越高，convexity越大: barbell>laddered>bullet

---------

前提是duration相同


convexity越大，protection from yield curve change越小:bullet>ladder>barbell

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不是的，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。


现金流越早到期，reinvestment risk越大: barbell>laddered>bullet

-----------

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，那么这个结论成立


现金流越平均，越是desirable liquidity management:ladder>barbell>bullet

------

laddered是最好的，barbell与bullet没法说谁更好。


现金流分散和平均也不是一个意思，前者是现金流的时间差大，后者是现金流时间差相似。

----------

是的

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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！

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