- 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

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**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.

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**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 |