答案和详解如下： 1.Vijay Ranjin, CFA, is a portfolio manager with Golson Investment Group. He manages a fixed-coupon bond portfolio with a face value of $120.75 million and a current market value of $116.46 million. Golson’s economics department has forecast that interest rates are going to change by 50 basis points. Based on this forecast, Ranjin estimates that the portfolio’s value will increase by $2.12 million if interest rates fall and will decrease by $2.07 million if interest rates rise. Which of the following choices is closest to the portfolio’s effective duration? A) 3.6 B) 0.4 C) 2.9 D) 4.3 The correct answer was A) Effective duration = (price when interest rates fall - price when interest rates rise) / (2 * initial price * basis point change) = (118.58 – 114.39) / (2 * 116.46 * .005) = 3.60. 2.Suppose you have a two-security portfolio containing bonds A and B. The book value of bond A is $20 and the market value is $35. The book value of bond B is $40 and the market value is $50. The duration of bond A is 4.7 and the duration of bond B is 5.9. Which of the following amounts is closest to the duration of the portfolio? A) 5.3. B) 5.5. C) 5.4. D) 5.6. The correct answer was C) Market values (not book values) should be used to calculate effective portfolio duration. (35/85 × 4.7) + (50/85 × 5.9) = 5.41 3.Which of the following statements about portfolio duration is FALSE? It is: A) a simple average of the duration estimates of the securities in the portfolio. B) a measure of interest rate risk. C) the weighted average of the duration estimates of the securities in the portfolio. D) measured using market prices of the bonds. The correct answer was A) Portfolio duration uses a weighted average figure, not a simple average. 4.Suppose you have a three-security portfolio containing bonds A, B and C. The effective portfolio duration is 5.9. The market values of bonds A, B and C are $60, $25 and $80, respectively. The durations of bonds A and C are 4.2 and 6.2, respectively. Which of the following amounts is closest to the duration of bond B? A) 9.0. B) 1.4. C) 7.1. D) 7.4. The correct answer was A) Plug all the known figures and then solve for the one unknown figure, the duration of bond B. Proof: (60/165 × 4.2) + (25/165 × 9.0) + (80/165 × 6.2) = 5.9 5.A bond portfolio consists of a AAA bond, a AA bond, and an A bond. The prices of the bonds are $1,050, $1,000, and $950 respectively. The durations are 8, 6, and 4 respectively. What is the duration of the portfolio? A) 6.07. B) 6.00. C) 6.67. D) 18.20. The correct answer was A) The duration of a bond portfolio is the weighted average of the durations of the bonds in the portfolio. The weights are the value of each bond divided by the value of the portfolio: portfolio duration = 8*(1050/3000)+6*(1000/3000)+4*(950/3000) = 2.8+2+1.27 = 6.07. | 
发表于 2008-5-15 17:15
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