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jerrywongcn · 2023年01月31日

Wharton portfolio would experience a decrease in convexity.

  1. CFA III
  2. Fixed Income

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NO.PZ202209060200004606

问题如下：

Is Neeson most likely correct in his assessment of the effects of a laddered bond portfolio approach on the Wharton and Lawson portfolios?

选项：

A.Yes B.No, because the Lawson portfolio is a bullet portfolio where the duration of its assets are matched to the duration of its liabilities C.No, because the duration of the Wharton liabilities is greater than that of the Lawson liabilities owing to the younger age of its participants

解释：

Solution

A is correct. A laddered portfolio has lower convexity and dispersion than a barbell portfolio but more than a bullet portfolio, given comparable duration and cash flow yields. Lower convexity and dispersion are desirable aspects in liquidity management. In a laddered portfolio, there is always a bond close to redemption enhancing liquidity. As bonds mature, the final coupon and principal are available for distribution or can be reinvested in a long-term bond at the back of the ladder. The Wharton portfolio is more of a barbell, has higher convexity than the Lawson portfolio, and would see a larger reduction in cash flow reinvestment risk with the reduction of convexity.

B and C are incorrect. Neither duration nor the projected life of the plan reveal the convexity or dispersion characteristics of the portfolio.

请问Wharton portfolio would experience a decrease in convexity怎么解释，谢谢！

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1 个答案

pzqa015 · 2023年02月01日

嗨，努力学习的PZer你好：


根据N同学前两句陈述，Whaton portfolio是一个barbell portfolio，Lawson portfolio是bullet portfolio。





In general, a laddered bond portfolio approach would improve liquidity management for both, although the Lawson portfolio would experience an increase in cash flow reinvestment risk and the Wharton portfolio would experience a decrease in convexity.”


如果对barbell portfolio与bullet portfolio进行laddered 改造（laddered portfolio approach），会提高两个portfolio的流动性（正确，laddered portfolio更适用于liquidity management，因为它的现金流分布更加平均）。尽管bullet portfolio变为laddered portfolio后会提高现金流在投资风险（正确，因为laddered 现金流更多，所以在投资风险更大），barbell portfolio变为laddered portfolio后convexity会下降（正确，久期相同或相近时，convexity排序：barbell＞ladderd＞bullet）。

所以，三句话都正确，选A。


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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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