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**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.

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**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. |