- CFA Exams
- CFA Level I Exam
- Study Session 15. Fixed Income (2)
- Reading 46. Understanding Fixed-Income Risk and Return
- Subject 2. Macaulay, Modified and Effective Durations
CFA Practice Question
Which of the following portfolios would lose the least from a parallel shift up of 10 basis points in the yield curve?
Correct Answer: D
Portfolio D which has the smallest effective duration would lose the least with an upward parallel yield curve shift of 10 basis points.
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 |