So that one question asks whether we can know if the fixed income manager met his objective by managing duration. The table only show total interest rate effect of -.08%. Wouldnt this mean that we do not have enough info? Yea the overall Interest rate effect was negative, but its possible that the manager earned huge returns in duration management and terrible convexity or yield curve positioning returns to net the negative return. Anyone have any thoughts?
such a gay question. (I mean the CFAI original question)
in general, interest rate effect IS the duration management effect.
lots of posts about this and no answers
manager A: cant determine b/c of convexity and YC effects that could be more negative than duration is positive
manager B: could have sold overvalued sectors to gain his alpha, could have benefited from transaction costs