NO.PZ2021120102000005
问题如下：
An active fixed-income manager holds a portfolio of commercial and residential mortgage-backed securities that tracks the Bloomberg Barclays US Mortgage-Backed Securities Index. Which of the following choices is the most relevant portfolio statistic for evaluating the first-order change in his portfolio’s value for a given change in benchmark yield?
选项：
A.Effective
duration
Macaulay duration
Modified duration
解释：
A is correct.
Effective duration is a yield duration
statistic that measures interest rate risk using a parallel shift in the
benchmark yield curve (ΔCurve).
Effective duration measures interest rate risk for complex bonds whose future cash flows are uncertain because they are contingent on future interest rates. Both Macaulay duration (B) and modified duration (C) are relevant statistics only for option-free bonds.
备注：本题题干说明是投资MBS与CMBS（commercial and residential mortgage-backed securities）。由于MBS、CMBS的基础资产为房贷，而房贷存在提前偿还的“期权”，所以本题的投资组合可以理解为含权债券（类似Callable bond），因此应该使用Effective duration。
能不能这么理解？
对于含权的债券，计算组合的价值，即（valuating the first-order change in his portfolio’s value），用effective duration
对于不含权的债券，计算组合的价值，即（valuating the first-order change in his portfolio’s value），用effective duration或modified duration
对于liability based mandates，在考虑是否实现immunization时，不含权的用macaulay duration，含权的用effective duration
