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砖路 · 2022年08月23日

C答案为什么错？

  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

由于B答案的convexity小于C答案，所以less protection from twist 和shift。为什么C错呢

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1 个答案

pzqa015 · 2022年08月24日

嗨，努力学习的PZer你好：


你搞混了

structural risks是免疫策略里面特有的，它是指收益率曲线非平行移动，△asset≠△liability，此时，免疫策略失败。通过minimize convexity来降低structural risk。

而这道题根本没提负债，跟免疫没关系，单纯让比较收益率曲线非平行移动时，barbell、laddered、bullet哪个表现更好，结论是laddered，yinwei laddered portfolio会protect against yield curve shift and twist。

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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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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