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Lu · 2020年10月09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.

我可以理解为laddered protofolio provide more protection against twist and shift吗？

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1 个答案

WallE_品职答疑助手 · 2020年10月09日

同学您好，

这是错误的，首先你要看和谁比，和barbell还是bullet比。

然后，收益率曲线平行上移，在每年的节点上都会给laddered portfolio造成损失，所以收益率曲线上移的时候要减少整个组合的duration。

粉红豹 · 2020年10月09日

老师，您这个回复和 发亮老师的一个回复 矛盾啊，https://class.pzacademy.com/qanda/48561 应该哪个对？

WallE_品职答疑助手 · 2020年10月10日

咱们的回复其实不是冲突的，我的意思是，首先咱们需要找一个参照物，不然无法比较。您看发亮老师的一段话也是有参照物的。 这也就解释了为啥Laddered portfolio的Protection最多，就是因为非平行移动时，他的价格不会出现极端变化。所以如果我们在构建投资组合时，构建成Laddered portfolio，在利率变动下，Laddered portfolio的价值不会经历大起大落，始终是相对稳定的（相比Barbell/Bullet） 如果咱们没有比较的话，收益率曲线全面上升，我们需要做的是降低exposure或者duration才对。

Lu · 2020年10月11日

“所以如果我们在构建投资组合时，构建成Laddered portfolio，在利率变动下，Laddered portfolio的价值不会经历大起大落，始终是相对稳定的”。 那为什么是我的理解是错误的呢？

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