FRM-FMP

anbu.edu
Finance Junkie
Posts: 205
Joined: Mon Feb 04, 2013 3:35 pm

FRM-FMP

Postby anbu.edu » Thu Mar 28, 2013 2:00 am

Jon Crandell, FRM is a fixed income portfolio manager, and he wishes to create a T-bond futures hedge to alter his portfolio’s duration. What should he do if he wishes to shorten the duration of his portfolio with minimal disruption to the underlying portfolio, and what will this action do to the portfolio’s interest rate sensitivity?

A) Buy futures; decrease portfolio’s interest rate sensitivity.
B) Sell futures; decrease portfolio’s interest rate sensitivity.
C) Sell futures; increase portfolio’s interest rate sensitivity.
D) Buy futures; increase portfolio’s interest rate sensitivity.

Can the Ans b e A

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

FRM-FMP

Postby content.pristine » Thu Mar 28, 2013 4:20 pm

Dear Anbu,
From now on, please be specific in your doubts.
1. What is the source of the question?
2. What is the answer?
3. Where exactly are you facing problems in this question?


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