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Shawnxz · 2024年05月04日

请问这个考点在哪一部分？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000701

问题如下：

Which of the following statements is true if yield levels increase by 50 bps?

选项：

A.

The active portfolio will outperform the index portfolio by approximately 61 bps.

B.

The index portfolio will outperform the active portfolio by approximately 61 bps.

C.

The index portfolio will outperform the active portfolio by approximately 21 bps.

解释：

A is correct.

The sum of the key rate durations equals the effective portfolio duration.

The approximate (first-order) change in portfolio value may be estimated from the first (modified) term, namely (-EffDur × ΔYield).

Solving for this using the -1.22 effective duration difference multiplied by 0.005 equals 0.0061%, or 61 bps.

请问这个考点在哪一部分？

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已采纳答案

pzqa31 · 2024年05月05日

嗨，爱思考的PZer你好：


这道题考察的就是（△P/P）=-（∑KRDi）*△y这个公式的应用，KRD是二级就学过的。

active portfolio的∑KRDi为6.115，index的∑KRDi为7.335，在收益率曲线向上平移50Bp时（一般提到level，就是平行移动），

active portfolio的△P/P=-3.0575%，index的△P/P=-3.6675%，所以，active 的表现比index要好，收益率少下降61bp。



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