关于期限

问题如下：

Beatriz Maestre is a fixed-income consultant who has been retained by Filipe Ruelas, the CFO of Cávado Produtos Agricolas, SA (Cávado). Cávado is a manufacturer of prepared foods headquartered in Braga, Portugal.

Maestre discusses an example of a single liability owed by Cávado, a EUR 2.3 million balloon payment due to the former CEO of the company in approximately six and a half years as a part of her deferred compensation package.

Maestre tells the group, “Suppose you wanted to immunize this liability. One way to do so would be to purchase zero-coupon bonds with essentially zero credit risk that mature in six-and-a-half years and have a face value of EUR 2.3 million. Unfortunately, no zero-coupon bonds are available with this maturity. Therefore, a portfolio of high-quality government bonds with a duration of approximately six-and-a-half years could be used, although this portfolio might have to be adjusted over time to maintain a matched duration with the liability.” She proposes to select one of the three portfolios shown in Exhibit 2.

Which of the portfolios described in Exhibit 2 would most likely be recommended by Maestre?

选项：

A.Portfolio A B.Portfolio B C.Portfolio C

解释：

Correct Answer: B

B is correct. The three portfolios have essentially the same cash flow yield. They also have Macaulay durations very close to the horizon for the liability (i.e., 6.5 years). Therefore, the question is one of convexity, and the differences in convexity are meaningful. Although more (positive) convexity is generally desired by fixed-income investors, the goal of ALM is to minimize the dispersion of cash flows around the Macaulay duration and make the portfolio more like the zero-coupon liability it is attempting to immunize. Therefore, Portfolio B should be recommended because it has the lowest convexity. Minimizing the portfolio convexity (i.e., the dispersion of cash flows around the Macaulay duration) makes the portfolio closer to the zero-coupon bond that would provide perfect immunization.