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Basic Question 12 of 12

The monthly standard deviation for a 1-year T-bill is 8.528%. The annualized standard deviation (interest rate volatility) should be:

A. 0.7107%
B. 2.472%
C. 29.54%
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User Contributed Comments 1

User Comment
Logaritmus monthly std dev >= yearly std. dev so take C without computation
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Craig Baugh

Craig Baugh

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.