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- 2016-4-19
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Even then its C
calculate the wt avg duration of the portfolio & benchmark secor wise & see the differences
As in for Treasury duration contribution is 0.2792 * 5 = 1.40 whereas benchmarks 0.30 * 3.8 = 1.14, the difference is +ve 0.26
for corporate duration contribution : 2.13 (portfolio) - 2.36 (benchmark) = -0.23—– its -ve & would be the reason for tracking error… |
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发表于 2013-4-22 09:18
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