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dognmnm · 2023年02月24日

laddered portfolio 对利率的非平行移动

  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.

为何laddered portfolio 对利率的非平行移动更有免疫效果?

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1 个答案

pzqa015 · 2023年02月27日

嗨，努力学习的PZer你好：


这道题不是问免疫，是问的收益率曲线非平行移动下，哪钟portfolio value波动更小（protection from yield curve shifts and twists)。

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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