CFA Practice Question

There are 252 practice questions for this study session.

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.
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