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徐威廉 · 2021年10月19日

忽然感觉

  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

忽然意识到关于流动性管理存在一个矛盾点，按照正常思维，即流动性管理就是看CF越分散管理的越好，即ladder的CF最分散所以流动性管理最好！ 换个角度convexity又能表明cf的dispersion即分散程度，这样barbell 的convexity最大啊，难道流动性管理最好吗？

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已采纳答案

pzqa015 · 2021年10月19日

嗨，从没放弃的小努力你好：


流动性管理好的是均匀，而不是分散，比如1年、30年，这叫分散，但是1年、2年、3年....30年，这叫均匀，后者才好。convexity衡量的是分散程度，而不是均匀程度，所以barbell convexity大，现金流分散，但不均匀，所以流动性管理不好。

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