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betty__smile · 2021年09月17日

C为什么不对,convexity 比barbell小 保护少啊

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000304

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

同标题，c为什么不对

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2 个答案

pzqa015 · 2021年09月18日

嗨，爱思考的PZer你好：


C选项是书上的原话，laddered portfolio provide more protection from yield curve shifts and twists。意思是在收益率曲线非平行移动时，laddered portfolio表现更好，C选项说反了。convexity主要保护收益率曲线平行移动，在平行移动时convexity大的portfolio表现更好。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2021年09月18日

嗨，努力学习的PZer你好：


C选项是书上的原话，laddered portfolio provide more protection from yield curve shifts and twists。意思是在收益率曲线非平行移动时，laddered portfolio表现更好，C选项说反了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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