NO.PZ202112010200000701
问题如下：
Which of the following statements is true if yield levels increase by 50 bps?
选项：
A.
The active
portfolio will outperform the index portfolio by approximately 61 bps.
B.
The index portfolio will outperform the active portfolio by approximately 61 bps.
C.
The index portfolio will outperform the active portfolio by approximately 21 bps.
解释：
A is correct.
The sum of the key rate durations equals the effective portfolio duration.
The approximate (first-order) change in portfolio value may be estimated from the first (modified) term, namely (-EffDur × ΔYield).
Solving for this using the -1.22 effective duration difference multiplied by 0.005 equals 0.0061%, or 61 bps.
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