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多啦A梦 · 2022年01月02日

effective duration为什么等于-1.22呢？

  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.

effective duration为什么等于-1.22呢？

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1 个答案

pzqa015 · 2022年01月04日

嗨，努力学习的PZer你好：


同学你好，图片上传失败，我这只能看到问题，看不到题目背景信息，麻烦把题目上传一下吧

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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