bpdulog

It depends on how the mgr hedge the interest risk. It should not complete cancel each other out.

Remember that the mgr contribution/Interest rate management section can be further broken down into duration, convexity and yield-curve shape change components

He can do only duration hedge, two-bond hedge, key rate duration hedge... so match (offset) more (or less) closely with external interest rate.


deriv108 Wrote:
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> If the portfolio manager has hedged the interest
> rate risk, the two components(External Interest
> Rate Effect and Interest Rate Management Effect)
> will offset each other.