- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 13. Curve-Based and Empirical Fixed-Income Risk Measures
- Subject 2. Key-Rate Durations
CFA Practice Question
Consider two portfolios.
D(1) = key rate duration for the 1-year part of the curve. D(2), D(3), D(4)...
Portfolio 1 has a ______ sensitivity to changes in 10-year rates and a ______ sensitivity to shifts in 5-year and 30-year rates than Portfolio 2.
B. greater, greater.
C. lower, lower.
D: duration.
D(1) = key rate duration for the 1-year part of the curve. D(2), D(3), D(4)...
Portfolio 1 has a ______ sensitivity to changes in 10-year rates and a ______ sensitivity to shifts in 5-year and 30-year rates than Portfolio 2.
A. greater, lower.
B. greater, greater.
C. lower, lower.
Correct Answer: A
User Contributed Comments 1
| User | Comment |
|---|---|
| Rotigga | Didn't have to do the math-- just look at the weights first |