Fixed income- ALM Portfolio statistics vs weighted avg (durations and ytm)
“With a flat yellow curve there is no difference between the 2 approaches.
In upward sloping curve IRR and portfolio duration is higher than average duration and YTM of bond “
This is because portfolio statistics reflect all cash flows to be receive- can yall please expand on this point? So this suggests that YTM or duration doesnt reflect all cash flows, why or why not?
Why is it that a flat yield curve is not impacted by 2 methods and only upward sloping yield curve is?
On a lighter note, How in the world of god do I rememebr all of this information when I have no background in Fixed income/portfolio management?
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