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Moonymoreo · 2020年11月05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.

cash flow yield不是考虑reinvestment risk的一项因素吗？

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WallE_品职答疑助手 · 2020年11月05日

同学您好，

是，但选项A说的Reinvestment risk，不但要考虑IRR（也就是cash flow yield），还要考虑现金流的权重影响。Barbell就是前期的现金流权重很高，和Ladderred portfolio相比，Barbell就面临更高的Reinvestment risk，这点就是原版书结论。

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