Manager A says he adds value by actively managing duration. I assumed the answer was that we don’t have enough information – all we know is that the interest rate effect was negative; we don’t know which of the 3 components (duration / convexity management or yield curve shape) are negative. Duration effect could be +1% and convexity could be -2% and vice versa.
CFAI says that because he has negative interest rate management effect, he fails at duration management. Am I missing something? |
发表于 2013-4-22 15:03
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