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Basic Question 8 of 12
Which of the following portfolios would lose the least from a parallel shift up of 10 basis points in the yield curve?
User Contributed Comments 5
| User | Comment |
|---|---|
| rhardin | I know I should know this, but how do I calculate effective duration again? |
| bodduna | V- - V+/2vo*decimal yield |
| bodduna | Or Add all portfolio key rate durations of each maturity in the portfolio |
| ashish100 | Portfolio d duration = 30.7 (lowest) that's what I got at least |
| davidt87 | ashish i don't know how you got that. my understanding are that these are key rate durations for different points in the yield curve that must all add back to the asset's/portfolio's effective duration. so Portfolio D duration = 3 + 1 + 1 = 5 |
I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
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.