Question
A portfolio has a total duration of 6 years, and has a 5yr KRD of 6 years (all of the portfolio's duration is in the
A portfolio has a total duration of 6 years, and has a 5yr KRD of 6 years (all of the portfolio's duration is in the 5yr key rate). In a growth scare, 10yr and 30yr Treasuries rally and yields decrease by 100bps over the course of the month. What is the percentage performance impact to the portfolio?
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Financial Management Theory And Practice
Authors: Eugene Brigham, Michael Ehrhardt, Jerome Gessaroli, Richard Nason
3rd Canadian Edition
017658305X, 978-0176583057
