2015 CFA PM Mock (Morning one) Q 38

The question asks to calculate the number of futures contracts to sell, assuming NO LEVERAGE is used.

What does no leverage mean in this case? The solution is still using 200M which is a levered portfolio, instead of 100M.

Please clarify.


They just mean without borrowing any more money. I guess you could lower duration by just borrowing more money.

I think it’s just to stear you off track. Ignore

Initially I thought you are supposed to use 100M instead of 200M (since 100M was borrowed first) which would make more sense.

For sure this isn’t a typo?


I agree with you.

I remember finding that the number of contracts for 100MM wasn’t even an option, so I assumed 200MM and moved on. It’s a dumb phrasing, but I believe the same thing cropped up in another CFA question somewhere. If this oddity crops up on the test, my best advice is to go by the assets in the exhibit.

I got tripped on this as well. Some things just doesn’t make sense, but you have to live with it.

I fell for this too, but if I’m remembering correctly, when calculated with 100M, the option wasn’t there, so I recalculated with 200.

Thats right. Hopefully it will be clear on the exam. Thanks.