- CFA Exams
- CFA Exam: Level II 2021
- Study Session 12. Fixed Income (1)
- Reading 32. The Term Structure and Interest Rate Dynamics
- Subject 7. Yield Curve Factor Models
CFA Practice Question
Litterman and Scheinkman find that approximately 80% of U.S. Treasury yield curve changes can attributed to changes in the ______ of the yield curve.
B. curvature
C. steepness
A. level
B. curvature
C. steepness
Correct Answer: A
They also find that approximately 10% of additional changes can be attributed to changes in the slope and a further 3% can be attributed to changes in the curvature movement.
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