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Basic Question 2 of 12
If the effective duration of portfolio A is the same as that of portfolio B, the performance of the two portfolios ______ for a small ______ shift in the spot rates.
II. may be the same, parallel
III. may not be the same, nonparallel
I. may not be the same, parallel
II. may be the same, parallel
III. may not be the same, nonparallel
User Contributed Comments 2
| User | Comment |
|---|---|
| ryanpetty | The key rate duration allows for changes in the level, slope and shape of the yield curve. |
| davidt87 | i get the point, but the logic is all screwed in this question. if they "may" be the same, it stands to reason that they may also not be the same |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
explain how a bond's exposure to each of the factors driving the yield curve can be measured and how these exposures can be used to manage yield curve risks;
explain the maturity structure of yield volatilities and their effect on price volatility.
CFA® 2025 Level II Curriculum, Volume 4, Module 26.