- 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
Which duration measure indicates the investment horizon in which coupon reinvestment risk and market risk offset each other?
B. Modified duration
C. Effective duration
A. Macaulay duration
B. Modified duration
C. Effective duration
Correct Answer: A
For a particular assumption about yield volatility, the Macaulay duration indicates the investment horizon in which coupon reinvestment risk and market price risk offset each other.
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