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Zunniyaki · 2021年08月29日

Laddared portfolio是不是structural risk最小的？

  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，请问下在做immunization时用Laddared portfolio相比Bullet和Barbell Portfolio是不是structural risk最小的？因为我知道structural risk是非平行移动带来的不能match 零息债券的YTM的风险，所以才要minimize dispersion也就是最小化convexity，那么到底是Bullet的structural risk更小还是Laddared更小？另外，还想问一下这三种portfolio他们哪个reinvestment risk最小，能排序下么？问题有点儿长，谢谢！

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2 个答案

pzqa015 · 2023年02月05日

嗨，努力学习的PZer你好：


这是两个知识点：

structural risk是免疫策略中的，选择convexity最小的原因是structural risk(免疫失败）风险最小。

另一个知识点是laddered portfolio会protect against yield curve shift and twist。

yield curve shift and twist是指收益率曲线的非平行移动，由于laddered portfolio现金流分散更均匀，所以不同时间点收益率变动不同带来的reinvestment risk更有可能相互抵消，所以，在面对收益率曲线非平行移动时，laddered portfolio可以提供更好的protectation,这是原版书的结论。

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努力的时光都是限量版，加油！

笛子_品职助教 · 2021年08月30日

嗨，从没放弃的小努力你好：


Bullet，Laddared，Barbell，主要是比较收益曲线变动对债券的影响。


至于凸性，Bullet最集中，凸性也最小。


如果是在Single Liability immunization中，那么其他条件相同的情况下，要选凸性最小的，也就是Bullet，Bullet的reinvestment risk和Price risk都最小，structural risk也最小。Laddared凸性居中，reinvestment risk和Price risk居中，structural risk也居中。Barbell的reinvestment risk和Price risk都最大，structural risk也最大。

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Lich · 2023年02月04日

请问老师，yield curve non-parrallel，这时候用laddered，考虑的是流动性在投资和structual risk感觉有点矛盾呢

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2022-03-10 10:31 1 · 回答

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2022-02-28 07:42 1 · 回答

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2021-10-10 17:17 1 · 回答

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