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Lucrecia1004 · 2021年09月24日

老师好请问C怎么理解呢

  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.

老师好‘请问C选项怎么理解呢
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pzqa015 · 2021年09月24日

嗨，努力学习的PZer你好：


laddered portfolio的一个优点是，provide more protection from yield curve shifts and twists，这是需要记住的结论。

原因是laddered 的现金流更分散，即使收益率曲线非平行移动（不同的点变化幅度不一样），各个点变动导致的portfolio value变动更容易相互offset，使得portfolio value变化不大。而barbell与bullet的现金流相对没有那么分散，面对收益率曲线非平行移动，更容易出现portfolio value的极端变动。

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Di · 2021年12月18日

是否也可以从structural risk的角度来理解呢？因为portfolio B的convexity更小，与C相比更接近zero-coupon bond的属性，structural risk更小，所以B对利率曲线非平行移动时的保护性越高，越不容易受变动的影响?

pzqa015 · 2021年12月19日

嗨，从没放弃的小努力你好：


两个知识点还是有细微差别的。

structural risk是衡量收益率曲线发生yield and twist时，portfolio value变化无法与liab value变化匹配导致免疫失败的风险，强调的是portfolio value变化与liab value变化不一致的风险，也就是说，portfolio value是可以变化的。关于structural risk，laddered portfolio的convexity小于barbell，所以用laddered portfolio做免疫时structural risk也小。

而这里的protection更多是考虑portfolio value本身，强调的是portfolio value本身变化小或者没变化，由于laddered现金流更分散，不同点现金流的在投资收益可以相互抵消，所以，portfolio value变化比barbel更小，protection效果更好。


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NO.PZ2019103001000016问题如下 Baseon Exhibit 2, relative to Portfolio Portfolio A.hhigher cash flow reinvestment risk. B.is a more sirable portfolio for liquity management. C.provis less protection from yielcurve shifts antwists B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management.请问老师，portfolio B 对portfolio A 来说，是不是也是protection more from shift antwist？因为短中长的现金流平均分布在investment horizon中，provi more balanbetween RI risk anpririsk？

2022-03-20 11:50 2 · 回答

NO.PZ2019103001000016 讲义里说versification会带来Cash flow RI risk.

2022-03-10 10:31 1 · 回答

NO.PZ2019103001000016 is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. Barbell的convexité比較大，不是可以帶來漲多跌少的好處嗎？c是不是也對呢？

2022-02-28 07:42 1 · 回答

NO.PZ2019103001000016 is a more sirable portfolio for liquity management. provis less protection from yielcurve shifts antwists B is correct. Portfolio B is a laereportfolio with maturities spremore or less evenly over the yielcurve. A sirable aspeof a laereportfolio is liquity management. Because there is always a bonclose to remption, the soon-to-mature boncprovi emergenliquity nee. Barbell portfolios, suPortfolio have maturities only the short-term anlong-term en anthus are muless sirable for liquity management. 为什么不能从凸性的涨多跌少来判断protection程度呢？从laer和barbell的现金流角度可以理解再投资risk和twist变化的受保护程度应该是laer更好，但barbell的凸性反而是更大，这个怎么理解呢？这块一直有点疑问，之前全靠记忆，为什么barbell的凸性比laer的高？

2021-10-10 17:17 1 · 回答