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

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发表于 2008-9-15 14:21 | 只看该作者

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.

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.

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发表于 2008-9-15 14:22 | 只看该作者

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.

Answer and Explanation

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

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发表于 2008-9-15 14:23 | 只看该作者

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.

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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发表于 2008-9-15 14:24 | 只看该作者

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.

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.

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发表于 2008-9-15 14:25 | 只看该作者

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.

Answer and Explanation

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