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wanlankiki · 2021年07月09日

老师能解释下A吗谢谢

  1. CFA III
  2. Fixed Income

NO.PZ2019103001000016

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.

老师能解释下A吗谢谢

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pzqa015 · 2021年07月09日

嗨，从没放弃的小努力你好：


同学你好，

A的意思是portfolio B有higher reinvestment risk。

Portfolio B为laddered portfolio，我们有个结论是laddered portfolio的reinvestment risk更小，原因是与barbell以及bullet相比，投资期内它的现金流入分布更均匀，因此，可以平滑投资期内市场利率变化对coupon及principal再投资的影响。基于laddered reinvestment risk小这一优良特性，用laddered做immunization的structural risk小。

原版书有句话：laddered protected from shifts and twists，因为cash flow essentially diversified across the time spectrum。表达的就是这个意思。


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wanlankiki · 2021年07月10日

谢谢~

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