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dada · 2022年03月27日

绿色内容

  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.

绿色内容，对于解答此题的作用是？



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1 个答案

pzqa015 · 2022年03月28日

嗨，从没放弃的小努力你好：


如果收益率曲线平行移动，可以用portfolio duration=∑KRD先计算出portfolio duration，然后根据△%portfolio value=-portfolio duration*△y来计算portfolio value的变动

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