CFA Practice Question
The fact that changes in the yield curve slope contribute 8% of the explanatory power of Treasury returns implies that a Treasury portfolio manager should monitor risk measures such as ______.
A. effective duration
B. key rate duration
C. one-sided duration
Explanation: Key rate duration measures the slope of the yield.
User Contributed Comments 5
| User | Comment |
|---|---|
| danlan2 | These are the factors: interest rate, slope (key rate duration), curvature. |
| dblueroom | I think somewhere it says effective duration and convexity are more appropriate measures for parallel movement of interest rates. |
| aggabad | changes in the level of interest rates (parallel curve moves) has 90% of the explanatory power and effective duration should be monitored. |
| soorajiyer | dblueroom: I think they are asking about movement along with yield curve! What you are saying is interest rate shifts! |
| zipphani2 | Curvature has to do with Key Rate Duration. The number 8% has no significance here. |