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dognmnm · 2023年02月24日

Index-based Strategies练习中的laddered portfolio

  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.

我不太懂关于分散的现金流与这边Index-based Strategies有啥关系? 为何会出现在Index-based Strategies练习中啊? 是对应哪个知识点

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1 个答案

发亮_品职助教 · 2023年02月27日

嗨，爱思考的PZer你好：


这道题放到Laddered portfolio知识点下比较合适，题目我已经挪了位置了，感谢指正。


Laddered portfolio通常的考查有以下几个：

第1个是和Bullet/barbell在做duration-matching时，判断最优的Portfolio。通过Convexity大小来判断。明确知道在三个Portfolio其他条件一致时，convexity大小是，barbell>laddered>bullet

第2个是在非平行移动时，Barbel和bullet的表现都比较极端，而Laddered因为在每个利率点位的Duration权重都比较小，所以整体表现比较稳定。

第3个是在正常的Portfolio management里面，Ladddered因为时刻都有债券到期，所以可以做Liquidity management。

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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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