Question
Consider the following portfolio of bonds. Bond duration weight frequency Yield A 5 18% annual 10% B 3 22% annual 10% C 8 20% annual
Consider the following portfolio of bonds.
| Bond | duration | weight | frequency | Yield |
| A | 5 | 18% | annual | 10% |
| B | 3 | 22% | annual | 10% |
| C | 8 | 20% | annual | 10% |
| D | 4 | 40% | annual | 10% |
Suppose you invested $100 Million in total in this portfolio. How much is your portfolio worth in $ Millions (Ignoring any reinvestment of coupons), if
-
a) Interest rates go up by 25 basis points (1 basis point = 1/100 %)?
-
b) Interest rates go down by 200 basis points?
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Trillions How A Band Of Wall Street Renegades Invented The Index Fund And Changed Finance Forever
Authors: Robin Wigglesworth
1st Edition
0593087682,0593087690
