re: Yield Beta. Q50. i always thought that the yield beta captures the relationship between the bond/portfolio and the futures contract. (i thought i read this in schweser) but the correct answer is that the yield beta captures the relationship between the bond/portfolio and the CTD bond. I’m sure this is correct, since noone has mentioned it and it’s not in the errata. could someone confirm/explain this for me? Thanks much.
I got the same question wrong - I remember the same thing from Schweser
ugh, got this wrong too----and in book 5 schweser, sure enough says relationship between yield of portfolio and implied yield on the futures contract. although implied yield is based on the yield of the underlying bond, which is the CTD. CFAI is correct here, but tricky damn wording.