Schweser reading 32 concept checker 11ii we have the below: Kappa Asset management: -Interest rate management effect: Duration 0.23 Convexity -0.03 Yield-curve change 0.16 -Other management effects: Sector 0.04 Bond selection 0.23 Transaction costs 0.00 -Trading activity return 0.07 -Total return 1.78
Bond Portfolio Benchmark: -Interest rate management effect: Duration 0 Convexity 0 Yield-curve change 0 -Other management effects: Sector 0 Bond selection 0 Transaction costs 0 -Trading activity return 0 -Total return 1.08
Answer says The statement that Kappa’s strategy is to immunise against interest rate exposure (incorrect) and to yield positive contribution through bond selection (correct) is partially correct. I get that bond selection for Kappa (0.23) is above Benchmark (0) so they satisfy that objective, but which line are we looking at to say that immunising against interest rate exposure is incorecct?