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amywangyx · 2023年07月27日

选项a能从表格中推出吗？

  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.

reinvestment risk怎么看

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1 个答案

pzqa31 · 2023年07月27日

嗨，努力学习的PZer你好：


同学，是这样的：对于不同的投资组合，Reinvestment risk排序为：Barbell > Laddered > Bullet，这是一个结论可以记住。


首先，这个结论的前提是是Barbell/Bullet/Laddered Portfolio，这3个组合在比较的时候，其他所有条件都是一致的，唯一的差别就是组合的现金流结构不同，只有这样，这三个Portfolio才可以比较。那这样的话，这3个Portfolio有相同的投资期，在同一个标准之下，我们比较Reinvestment risk。


在投资期之前发生的现金流需要进行再投资，直至到达投资期当天，所以只有投资期之前发生的现金流才面临再投资风险。于是，如果投资期之前的现金流越多，则面临的再投资的风险就越大，同时，如果现金流发生的时间越早、离投资期越远，则现金流面临的再投资风险也越大。


那这样的话，我们以原版书这幅图为例，蓝线代表投资期，这3个Portfolio，Laddered，Bullet，Barbell的投资期一致。


原版书原图中，黑色的柱线代表现金流发生的时间与金额，首先对于Bullet portfolio来讲，我们发现，组合的现金流就发生在投资期附近（黑色柱线在蓝线附近），那这样的话，Bulllet portfolio需要再投资的现金流就很少，于是他的Reinvestment risk最小。


反观Barbell Portfolio，由于在很早、离投资期很远的时候，就收到了一大笔现金流（如图中红圈，柱状图很宽，且离投资期很远），那这一大笔现金流需要进行再投资至投资期，因此面临的Reinvestment risk就很大。于是3个Portfolio中Barbell的再投资风险最大。


最后看Laddered portfolio，现金流发生的时间较为均匀，且每笔现金流的金额较少（如图中黑色柱状图分散较为均匀，且每笔适中），所以再投资风险居中。



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