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Basic Question 7 of 12
Consider two portfolios.
D(1) = key rate duration for the 1-year part of the curve. D(2), D(3), D(4)...
Portfolio 1 has a ______ sensitivity to changes in 10-year rates and a ______ sensitivity to shifts in 5-year and 30-year rates than Portfolio 2.
B. greater, greater.
C. lower, lower.
D: duration.
D(1) = key rate duration for the 1-year part of the curve. D(2), D(3), D(4)...
Portfolio 1 has a ______ sensitivity to changes in 10-year rates and a ______ sensitivity to shifts in 5-year and 30-year rates than Portfolio 2.
A. greater, lower.
B. greater, greater.
C. lower, lower.
User Contributed Comments 1
| User | Comment |
|---|---|
| Rotigga | Didn't have to do the math-- just look at the weights first |
I was very pleased with your notes and question bank. I especially like the mock exams because it helped to pull everything together.
Martin Rockenfeldt
Learning Outcome Statements
explain how a bond's exposure to each of the factors driving the yield curve can be measured and how these exposures can be used to manage yield curve risks;
explain the maturity structure of yield volatilities and their effect on price volatility.
CFA® 2025 Level II Curriculum, Volume 4, Module 26.