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6. The current yield is y = 4%, and a portfolio manager has a bond position worth $500 million. The manager is concerned with interest
6. The current yield is y = 4%, and a portfolio manager has a bond position worth $500 million. The manager is concerned with interest rate risk. To understand the portfolio sensitivity to interest rate risk, the manager uses a linear regression to regress the portfolio return, AP/P, on the change in yields, Ay. This is conducted using a daily data sample of 4 years. The regression results are reported in the table below. What is the portfolio Macaulay duration? Dependent variable: Ay AP/P -9.683*** (0.119) Constant 0.0004 (0.0003) Observations R? Adjusted RP Residual Std. Error F Statistic 999 0.870 0.870 0.010 (df = 997) 6,656.178*** (df = 1; 997) *p
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