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little_back · 2022年03月20日

请问老师，portfolio B 对portfolio A 来说，是不是也是protection more from shift and twist？

  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.

请问老师，portfolio B 对portfolio A 来说，是不是也是protection more from shift and twist？

因为短中长的现金流平均分布在investment horizon中，provide more balance between RI risk and price risk？

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2 个答案

pzqa015 · 2023年09月03日

嗨，爱思考的PZer你好：


twist and shift指的就是非平行移动。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2022年03月21日

嗨，从没放弃的小努力你好：


是的，laddered portfolio provide more protection from yield curve twists and shifts。

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加油吧，让我们一起遇见更好的自己！

sangt2007 · 2023年09月02日

这个shifts包含parallel和non parallel？

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

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

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. 老师好‘请问C怎么理解呢

2021-09-24 07:42 2 · 回答