Reading 27: Fixed-Income Portfol....anagementPart I－LOS h

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CFA Institute Area 8-11, 13: Asset Valuation
Session 8: Management of Passive and Active Fixed Income Portfolios
Reading 27: Fixed-Income Portfolio ManagementPart I
LOS h: Explain the importance of spread duration.

[此贴子已经被作者于2008-9-15 14:20:28编辑过]

tycoon

Which of the following is a relative measure of the interest rate sensitivity of a portfolio compared to an underlying index?

A) Value at risk.

B) Spread duration.

C) Portfolio duration.

D) Downside variance.

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Answer and Explanation

Spread duration is a relative measure of the interest rate sensitivity of a portfolio compared to an underlying index. The other choices are all absolute measures.

Spread duration is a relative measure of the interest rate sensitivity of a portfolio compared to an underlying index. The other choices are all absolute measures.

Spread duration is a relative measure of the interest rate sensitivity of a portfolio compared to an underlying index. The other choices are all absolute measures.

[此贴子已经被作者于2008-9-18 17:59:00编辑过]

tycoon

Which of the following is an absolute measure of the interest rate sensitivity of a portfolio?

A) Spread duration.

B) Value at risk.

C) Target semivariance.

D) Portfolio duration.

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Answer and Explanation

Portfolio duration is an absolute measure of the interest rate sensitivity of a portfolio.

Portfolio duration is an absolute measure of the interest rate sensitivity of a portfolio.

tycoon

If a portfolio manager is interested in the interest rate sensitivity of her portfolio as compared to a Treasury bond index, which measure should she examine?

A) Spread duration.

B) Portfolio duration.

C) Value at risk.

D) Standard deviation.

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Answer and Explanation

Since the portfolio manager is interested in the interest rate sensitivity of her portfolio as compared to a Treasury bond index, she should examine spread duration.

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Which of the following best describes the difference between spread duration and portfolio duration? Spread duration allows the manager to measure the sensitivity of portfolio value from changes in:

A) both convexity and yield changes.

B) the duration of the portfolio.

C) yield levels relative to a benchmark yield.

D) the price of the underlying securities.

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Answer and Explanation

With duration a parallel shift in the yield curve could be caused by a change in inflation expectations which causes the yields on all bonds, including treasuries, to increase/decrease the same amount. In spread duration, the shift is in the spread only, indicating an overall increase in risk aversion (risk premium) for all bonds in a given class.

With duration a parallel shift in the yield curve could be caused by a change in inflation expectations which causes the yields on all bonds, including treasuries, to increase/decrease the same amount. In spread duration, the shift is in the spread only, indicating an overall increase in risk aversion (risk premium) for all bonds in a given class.

tycoon

Two portfolios have the same portfolio duration but one of them has a higher nominal spread duration. How does the higher spread duration affect the portfolio characteristics? The higher spread duration portfolio will have:

A) a higher exposure to small parallel shifts in the Treasury curve and a higher exposure to changes in the yield difference between non-Treasury and Treasury bonds.

B) the same exposure to changes in the yield difference between non-Treasury and Treasury bonds but a higher exposure to small parallel shifts in the Treasury curve.

C) the same exposure to small parallel shifts in the Treasury curve but will have a higher exposure to changes in the yield difference between long and short-term Treasury securities.

D) the same exposure to small parallel shifts in the Treasury curve but will have a higher exposure to changes in the yield difference between non-Treasury and Treasury bonds.

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Answer and Explanation

Nominal spread is the spread between the nominal yield on a non-Treasury bond and a Treasury of the same maturity.