问题如下:
Based on Exhibits 1 and 2, which of the following portfolios is most likely to have the best performance given Edgarton’s yield curve expectations?
选项:
A.Current Portfolio
B.Pro Forma Portfolio 1
C.Pro Forma Portfolio 2
解释:
C is correct.
Given Edgarton’s expectation for a steepening yield curve, the best strategy is to shorten the portfolio duration by more heavily weighting shorter maturities. Pro Forma Portfolio 2 shows greater partial duration in the 1- and 3-year maturities relative to the current portfolio and the least combined exposure in the 10- and 30-year maturities of the three portfolios. The predicted change is calculated as follows:
Predicted change = Portfolio par amount × partial PVBP × (curve shift in bps)/100
我是这么理解的:首先收益率曲线变陡峭,就要降低duration。current portfolio的duration是正的,portfolio1duration等于current duration,portfolio 2 duration等于-7.12。我的理解对吗?