Reading 29: Fixed-Income Portfolio Management—Part I- LOS relative, interest, following

wzaina

 

LOS h: Explain the importance of spread duration.

Q1. 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)   Portfolio duration.

C)   Spread duration.

 

Q2. Which of the following is an absolute measure of the interest rate sensitivity of a portfolio?

A)   Spread duration.

B)   Portfolio duration.

C)   Value at risk.

 

Q3. 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.

 

Q4. 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)   yield levels relative to a benchmark yield.

B)   both convexity and yield changes.

C)   the price of the underlying securities.

 

Q5. 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)   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.

B)   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.

C)   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.

luqian55

thank you

suodi

[em50]

deqiang

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maxsimax

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aleckkwong

B

lenny_chen

x

murongfei

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beatum

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leeyaoxee

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