pacmandefense

I think the part of Manager A is awful.  What an unfair question.  Somewhere in fixed income we learn the 90%+ of yield curve changes are due to twists and shifts rather than parallel changes (i.e. duration), so he could have very easily had a much more negative effect from the other factors than a positive effect from duration.  So you have no idea what the contribution from duration was unless you see a breakout.