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15363567771 · 2022年02月28日

選項C

  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.

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？
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1 个答案

pzqa015 · 2022年02月28日

嗨，努力学习的PZer你好：


portfolio B是laddered portfolio，portfolio C是barbell portfolio。

原版书有句话：laddered portfolio provide more protection from yield curve shifts and twists.

原因如下：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。

所以，C说反了，应该是More 而不是Less.

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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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