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Shawnxz · 2024年04月25日

B是laddered，现金流更多，不会会有更多的reinvest risk吗？

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000016

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：

Correct Answer: B

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.

B是laddered，现金流更多，不会会有更多的reinvest risk吗？怎么理解

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pzqa31 · 2024年04月25日

嗨，从没放弃的小努力你好：


在Macaulay duration一致的情况下，Barbell的Reinvestment risk最大、Laddered次之、Bullet最小。这个定性的结论是一定成立的，所以可以记住这个结论。


可以这么理解：

用这三个Portfolio去匹配单期负债，这样这三个组合的投资期一致，比较再投资风险才有意义。让资产的Macaulay duration等于负债的Due date，实现匹配单期负债。Bullet资产的现金流比较集中，集中在资产的Macaulay duration左右，也就是集中在负债到期日附近，所以差不多Bullet收到现金流之后、再投资的时间很短，就可以偿还负债了，因此Bullet portfolio的Reinvestment risk最小；而Barbell portfolio的现金流最分散，集中在短期、和长期，且短期的现金流权重也很大，所以资产的现金流离其Macaulay duration比较远，也就是现金流离负债的到期日很远，所以短期的大笔现金流到期后，还需要进行再投资直到负债到期，所以Barbell资产面临最大的再投资风险；而对于Laddered portfolio，现金流较为均匀地分布在Macaulay duration左右，且每笔现金流权重较小，所以提前到期、需要进行再投资的现金流相对Barbell就比较小了，于是再投资风险就相对较小、处于三个组合的居中位置。

 

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