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highsix · 2020年03月11日

问一道题：NO.PZ2019103001000016

  1. CFA III
  2. Fixed Income

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：

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.

这道题的C选项为啥错了？能够详细解释下吗？

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发亮_品职助教 · 2020年03月12日

嗨，从没放弃的小努力你好：


“这道题的C选项为啥错了？能够详细解释下吗？”

根据现金流分布判断，Portfolio A是Bullet、Portfolio B是Laddered、Portfolio C是Barbell。

和C相关的正确结论是：Laddered portfolio provides more protection from yield curve shifts and twists，

所以C选项应该改成：Relative to portfolio C（Barbell），Portfolio B（Laddered） provides more protection from yield curve shifts and twisits

这主要体现在Laddered portfolio的表现非常稳定。因为3个Portfolio的Duration都一样，所以平行移动时，三个Portfolio表现差不多，可能Barbell因为Convexity更大一点，所以Barbell在平行移动时表现会稍微更好一些，但优势没有劣势明显。

当非平行移动时，Barbell和Bullet的劣势就非常明显了，他俩表现非常的极端。

我们以Barbell为例（Bullet的分析思路同理），Barbell的现金流分布在短期、长期；

当非平行移动是：短期利率不变，长期利率不变，只有中期利率变化，这样Barbell Portfolio的价值其实就不会受到影响。因为Barbell的现金流集中在短期、长期，影响这个Portfolio的Key rate为短期利率与长期利率。只有中期利率变化的非平行移动，Barbell portfolio的价值不太会受到影响。所以在这样的非平行移动时，Barbell的受到的影响很小

当非平行移动是：中期利率不变，短期、长期利率上升，此时，Barbell portfolio因为对短期、长期的利率更加敏感，所以Barbell的价值大幅下降。

所以发现，非平行移动时，Barbell portfolio的表现就很极端，要么Portfolio价值稳定，要么Portfolio价值波动加大。

这样的话，整体来看，Barbell portfolio并不能在非平行移动时，提供稳定的表现，即Provide less protection from yield curve shifts and twists.

同理，bullet在非平行移动时也会出现这种极端的表现。

反观Laddered portfolio，因为现金流均匀地分散在各个期限，且各个期限的权重相对较小，所以不论收益率曲线的非平行移动是如何变，对Laddered portfolio的影响都是适中的，不会出现像Barbell/bullet那种大起大落的表现。

这样的话，平行移动三个组合的表现差不多，非平行移动时Laddered portfolio的表现最好，所以有结论：

Laddered portfolio provides more protection from yield curve shifts and twists（Compared with bullet and barbell）

这点是原版书给定的结论。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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