The bond portfolio’s modified duration is closest to: A. 7.54. B. 7.88. C. 6.55. Solution. The correct answer is B. The portfolio’s modified duration is closest to 7.62.Portfolio duration is commonly estimated as the market-value-weighted average of the yield durations of the individual bonds that compose the portfolio.


Typically, fund managers will say their portfolio is “ overweight ” or “long” duration, meaning that their duration is higher than that of the fund's benchmark. Alternatively, the portfolio could be “underweight” or “short” duration. Duration impacts the relative performance of the bond funds or a portfolio of individual bonds.

Why Does Key Rate Duration Matter? Key rate duration is a measure of how a security's value changes when its yield changes by 1% for a certain maturity. The formula for key rate duration is: Key Rate Duration = (P-- P +)/(2 * 0 Learn more about measuring treasury risk using basis point value and modified duration including detailed examples. Markets Home Get quick access to tools and premium content, or customize a portfolio and set alerts to follow the market. Market Data Home Real-time market data. 2020-10-09 · What Modified Duration Can Tell You . Modified duration measures the average cash-weighted term to maturity of a bond.

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(9.8). (9.9) (9.10). How well do   Managing portfolio duration is a key focus for fixed-income portfolio managers. But active portfolio Exhibit 1 shows this bond's modified duration in years as  Example - The modified duration for the bond immediately above is 9.93788 Л A portfolio of zero coupon bonds that matches the anticipated flows would  Apr 30, 2015 Duration tells you how sensitive a bond or bond portfolio will likely be to Modified duration improves on Macaulay duration by accounting for  Jun 18, 2020 The duration of a portfolio and duration of an individual bond are generally Modified duration measures the change in the value of a security  Jul 16, 2010 Duration and Convexity together are used to immunize a portfolio of assets and liability against interest rate shock.

There are three customary measures of duration: Macaulay, modified, and effective.

5.2 KEY RISK CHARACTERISTICS OF THE PORTFOLIO. 1. The duration figure refers to 'modified duration' which measures the price sensitivity of a bond to 

A bond (or bond portfolio) with a higher duration is more volatile than a bond (or bond portfolio) with a lower duration. It is easier to immunize a bond portfolio when the duration of the portfolio is matched to the need for funds. Recall: The duration of a portfolio is the average of the durations of its pieces, weighted by present value. So for a portfolio or security with fixed cash flows, its duration is roughly the average maturity of its cash flows—this gives an intuitive way to estimate interest rate sensitivity.

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In 2019, the annual revenue of Ahlström Capital Oy's portfolio companies including the duration of the extended Offer Period, which shall be at least and effect and has not been modified, cancelled or changed (excluding,  The branch structure was modified during the year by duration in the mortgage portfolio, brought the risk level in terms of Var back to. Simplified relationships among voltage, duration, rate of change As an interim solution, the Olkiluoto station has modified the design to trip the NPP belongs to a power plant portfolio, the plant portfolio manager (PPM) will  Analgesic potency, time to peak effect and duration of action are dependent on and how protocols can be modified to accommodate these patients. year, and the latest addition to our anaesthesia and analgesia portfolio,  Portfolio Code: Identifies the portfolio that the insurance policy belongs to. Modified: When a contractual change or a status change not covered by the other When there is only one installment of the premium for the duration of the policy.
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Modified duration of a portfolio

of the modified cash based long-term incentive programme for maximum For contract-based exposures the derivatives follow the duration of.

if the funding instruments are not part of the portfolio as is, for example, the case with pure bond portfolios, it would then make sense to divide the thus computed "dollar duration" with the market value of the portfolio to arrive to a "relative" duration metrics that may be interpreted as Modified duration of the whole portfolio. For each portfolio component, the values in the ‘Weight’ column equal duration times the full price.
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A portfolio duration of 6.47 means that for a 100 basis point change in the yield for each of the three bonds, the market value of the portfolio will change by approximately 6.47%. Keep in mind that the yield for each of the three bonds must change by 100 basis points for the duration measure to be useful.

It's the percentage change of a bond's price based on a one percentage point move in market interest rates. Bond prices move in an inverse direction from interest rates.

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Relative to the Macaulay duration, the modified duration metric is a more precise measure of price sensitivity. It is primarily applied to bonds, but it can also be used with other types of securities that can be considered as a function of yield.

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