Do you have to match every risk factor discussed (duration, KR duration, sector, quality, etc) to have the same risk profile? Or is the goal to match a few?
is Prsent Value distrib of cash flows the means of matching duration and key rate duration, or can you just match duration and KR duration independently and still match sensitivities to interest rates changes?
many many thanks for the help
This may also be silly, but if the manager alters the duration or securities in the portfolio to generate higher returns, doesn’t that lessen the comparability/relevance of the benchmark? Or is the idea to create a similar starting point or general risk exposure as a benchmark, and that serves as the basis for judging performance? And any differences from there are attributable to manager influence?
thanks for any help.