CFA论坛 - Powered by Discuz! Board

标题: Reading 29: Fixed-Income Portfolio Management—Part I- LOS [打印本页]

作者: wzaina 时间: 2009-3-5 17:56 标题: [2009] Session 9 - Reading 29: Fixed-Income Portfolio Management—Part I- LOS

LOS g: Demonstrate the process of rebalancing a portfolio to re-establish a desired dollar duration.

Q1. A portfolio consists of positions in two bonds. The details of the positions are below:

Security	Market Value	Duration	Dollar Duration
Bond A:	$55,580	10.67	$5,930.39
Bond B:	$30,157	19.21	$5,793.16

The total dollar duration is $11,723.55. After a parallel shift of the yield curve, the results change to:

Security	Market Value	Duration	Dollar Duration
Bond A:	$52,133	10.67	$5,562.59
Bond B:	$26,874	19.21	$5,162.50

The new total dollar duration is $10,725.09. Which of the following adjustments will rebalance the portfolio to the original dollar duration?

A) Sell $2,499.28 of Bond A and buy $4,848.37 of Bond B.

B) Sell $4,848.37 of Bond A and $2,499.28 of Bond B.

C) Buy $4,848.37 of Bond A and $2,499.28 of Bond B.

Q2. A portfolio consists of positions in two bonds. The details of the positions are below:

Security	Market Value	Duration	Dollar Duration
Bond A:	$651,760	14.3	$93,201.68
Bond B:	$259,255	18.9	$48,999.20

The total dollar duration is $142,200.88. After a parallel shift of the yield curve, the results change to:

Security	Market Value	Duration	Dollar Duration
Bond A:	$680,334	14.3	$97,287.76
Bond B:	$274,382	18.9	$51,858.20

The new total dollar duration is $149,145.96. Which of the following adjustments will rebalance the portfolio to the original dollar duration?

A) Buy $31,703.56 of Bond A and $12,786.20 of Bond B.

B) Sell $12,786.20 of Bond A and $31,703.56 of Bond B.

C) Sell $31,703.56 of Bond A and $12,786.20 of Bond B.

Q3. A portfolio consists of positions in two bonds. The details of the positions are below:

Security	Market Value	Duration	Dollar Duration
Bond A:	$416,880	3.8	$15,841.43
Bond B:	$610,752	4.4	$26,873.10

The total dollar duration is $42,714.53. After a parallel shift of the yield curve, the results change to:

Security	Market Value	Duration	Dollar Duration
Bond A:	$410,166	3.8	$15,586.32
Bond B:	$598,905	4.4	$26,351.81

The new total dollar duration is $41,938.13. Which of the following adjustments will rebalance the portfolio to the original dollar duration?

A) Buy $7,588.07 of Bond A and $11,079.74 of Bond B.

B) Buy $11,079.74 of Bond A and $7,588.07 of Bond B.

C) Sell $7,588.07 more of Bond A and $11,079.74 more of Bond B.

作者: qiuqiudong 时间: 2009-3-9 11:26

Thanks very much!

作者: sweetgao 时间: 2009-4-16 21:02

k

作者: zhouyp1982 时间: 2009-4-19 10:34

 er

作者: pundit 时间: 2009-4-20 15:29

A

作者: miguelliu 时间: 2009-5-7 08:52

 a

作者: bucentaur 时间: 2009-5-19 11:57

re

作者: mashanghao 时间: 2009-5-19 15:25 标题: 回复：（wzaina）[2009] Session 9 - Reading 29: Fix...

ok

作者: gracecfa 时间: 2009-5-25 11:29

v

作者: sszzyyll 时间: 2009-5-28 18:20

 d

作者: eshen 时间: 2009-6-1 14:10

re

作者: luck 时间: 2009-10-12 07:37

thx

作者: dandinghe4748 时间: 2009-10-30 11:17

ok

作者: jrxx99 时间: 2009-12-28 15:44

踩踩踩踩踩踩踩踩

作者: leeyaoxee 时间: 2010-3-29 05:49 标题: 回复：（wzaina）[2009] Session 9 - Reading 29: Fix...

Thanks.

作者: beatum 时间: 2010-5-28 17:35

 re

作者: hc888 时间: 2011-2-8 14:43

thx a lot!

作者: lenny_chen 时间: 2011-2-16 14:24

x

作者: saintrich 时间: 2011-2-27 22:11

 Thx

作者: maxsimax 时间: 2011-4-28 14:22

tq

作者: deqiang 时间: 2011-5-8 21:17

thanks.

作者: suodi 时间: 2011-5-17 15:40

[em50]

作者: luqian55 时间: 2011-5-25 01:26

thank you

作者: rawrdinosaur 时间: 2011-6-1 22:11

ty

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)