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LOS e: Construct and evaluate an immunization strategy based on interest rate futures.
Q1. 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 portfolio’s dollar duration:
A) by an amount equal to the proposed bond position.
B) more than the proposed bond position.
C) significantly, but less than the proposed bond position.
Q2. 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 manager’s 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) -$18,000.
B) $63,000.
C) $18,000.
Q3. 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) decrease dollar duration.
B) increase modified duration.
C) increase the value. | 
发表于 2009-3-6 10:31
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