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Arnie · 2023年08月12日

关于duration

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000048

问题如下：

Camille Blanc is a fixed income manager who recently started the Optima mutual fund. The fund is invested in a diversified portfolio of government and corporate bonds. The fund’s mandate requires the effective duration of its portfolio to match that of its benchmark. Blanc’s objective is to outperform a fixed-income benchmark by using an enhanced-indexing strategy.

Blanc evaluates the price sensitivities of Optima relative to its benchmark for changes in the yield curve using scenario analysis:

Scenario 1: She simulates an immediate 10 basis point (bps) parallel shift in the yield curve and finds no difference in the price sensitivities between Optima and its benchmark.

Scenario 2: She simulates an immediate 30 bps change in the 5-year spot rate and holds all other rates constant. She finds a 19 bps difference in the price sensitivities between Optima and its benchmark.

A. Determine whether Optima most likely violates its mandate under each of the following:

i. Scenario 1

ii. Scenario 2

Justify your response for each scenario. (2015 Q3)

Note: Consider each scenario independently.

选项：

解释：

Effective duration measures the sensitivity of a portfolio’s price to a small parallel shift in the yield curve (interest rate risk). For a larger parallel shift, a convexity adjustment is used to improve the accuracy of the estimated price change. Key rate duration captures non-parallel shifts (yield curve risk) such as a steepening in slope or a twist in the yield curve. It measures the effect of changes at key points along the yield curve.

i. Optima does not violate its mandate in Scenario 1. Optima and its benchmark exhibit the same price sensitivity to a small parallel shift in the yield curve because Optima is matched on effective duration.

ii. Optima does not violate its mandate in Scenario 2. Optima and its benchmark exhibit different price sensitivities to a non-parallel shift in the yield curve, indicating that Optima is not matched on key rate duration at the 5-year spot rate. However, its mandate does not require that it be matched on key rate duration.

这里为啥强调的是effective duration 而不是modified duration

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已采纳答案

pzqa015 · 2023年08月14日

嗨，努力学习的PZer你好：


没啥特殊的意义

Modified duration用来预测未来收益率变化对债券价格的影响，是站在事前预测的角度，mod D=mac D/(1+y)；

Effective duration是事后检验收益率变化对债券价格的影响，是站在事后回看的角度。ED=(V--V+）/2V0△y，此外，embedded option债的价格对收益率 的敏感程度，我们只能用ED来衡量，也就是站在事后，因为事前现金流不可预测。

这里用modified duration和effective duration都是可以的。


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