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标题: Reading 29: Fixed Income Portfol....ement - Part II－LOS e [打印本页]

作者: tycoon 时间: 2008-9-15 15:40 标题: [2008] Session 9－Reading 29: Fixed Income Portfol....ement - Part II－LOS e

CFA Institute Area 8-11, 13: Asset Valuation
Session 9: Portfolio Management of Global Bonds and Fixed Income Derivatives
Reading 29: Fixed Income Portfolio Management - Part II
LOS e: Construct and evaluate an immunization strategy based on interest rate futures.

作者: tycoon 时间: 2008-9-15 15:41

A manager of a fixed-income portfolio sells futures contracts identical to contracts it already owns. With respect to the portfolio under management, the effect of this will be to:

A) increase the value.
B) increase modified duration.
C)
decrease dollar duration.
D) decrease the value.

Answer and Explanation

The only one of the choices we know for sure is that dollar duration will decline. The act of closing a futures contract does not necessarily change a portfolios value one way or another. The modified duration is a weighted average of the durations of the positions and not the dollar durations, it may go up or down.

作者: tycoon 时间: 2008-9-15 15:42

A manager buys a position in futures contracts that have a dollar duration (for a forecasted interest rate change) equal to $22,500. Before buying the futures contracts, the managers fixed income portfolio had a dollar duration (for the forecasted interest rate change) equal to $40,500. The dollar duration of the combined position is:

A)
$63,000.
B) $18,000.
C) $55,555.
D) -$18,000.

Answer and Explanation

This is an application of the formula DD_P = DD_{P w/o futures} + DD_{Futures position}

作者: tycoon 时间: 2008-9-15 15:42

A portfolio manager is considering increasing the dollar duration of a portfolio by either buying more bonds or buying futures contracts. Having used a reliable model to determine a bond position and a futures position that have equal dollar durations, choosing to add the futures position to the existing portfolio will increase the final portfolios dollar duration:

A)
by an amount equal to the proposed bond position.
B) significantly, but less than the proposed bond position.
C) only insignificantly.
D) more than the proposed bond position.

Answer and Explanation

Theoretically, using bonds or futures can accomplish the same goal.

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