- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 10. Interest Rate Risk and Return
- Subject 2. Macaulay Duration
CFA Practice Question
If an investor has a zero duration gap, ______
B. he is hedged against interest rate risk.
C. his risk is to higher interest rates.
A. his risk is to lower interest rates.
B. he is hedged against interest rate risk.
C. his risk is to higher interest rates.
Correct Answer: B
In this case, the investor's investment horizon is equal to the bond's Macaulay duration.
User Contributed Comments 0
You need to log in first to add your comment.