- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 46. Understanding Fixed-Income Risk and Return
- Subject 4. Bond Portfolio Duration
CFA Practice Question
A portfolio consists of two bonds:
Bond A | 10 years | 8% | 6.7 | 60%
Bond B | 7 years | 5.2% | 3.9 | 40%
B. 5.3
C. 5.58
Bond | Maturity | Coupon | Duration | Proportion in Portfolio
Bond A | 10 years | 8% | 6.7 | 60%
Bond B | 7 years | 5.2% | 3.9 | 40%
Which of the following is the best measure of portfolio duration?
A. 3.71
B. 5.3
C. 5.58
Correct Answer: C
Portfolio Duration = wA DA + wB DB = 0.6*6.7 + 0.4 * 3.9 = 5.58
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