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You have the following information about a portfolio and the benchmark its manager is tracking Portfolio Benchmark Index Sector % Duration % Duration Spread Duration
You have the following information about a portfolio and the benchmark its manager is tracking
Portfolio | Benchmark Index | ||||||
Sector | % | Duration | % | Duration | Spread Duration | ||
Treasuries | 30 | 4.00 | 26 | 3.90 | |||
Corporates | 37 | 39 | 5.20 | 5.40 | |||
MBS | 33 | 5.22 | 35 | 6.02 | 6.34 |
I
The duration of the benchmark is closest to
Options:
|
4.61
|
|
5.15
|
|
5.40
|
II
The spread duration of the benchmark is closest to
Options:
|
3.90
|
|
4.33
|
|
5.15
|
III
Assuming that the duration of the portfolio matches the duration of the benchmark, the duration of Corporates in the portfolio is closest to
Options:
|
4.25
|
|
6.02
|
|
5.20
|
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