fyi.
thanks cpk
cpk123 Wrote: ------------------------------------------------------- > fyi. please tell me where. Do I need to sign
nothing on yield beta question.
*Spoiler* Nothing but the corrected formula for Q23 Mock Exam: The answer equations for question 23 should appear as follows: o Portfolio total active return = 2.67% = (0%×0.45) + (6.5%×0.15) + (5.7%×0.2) + (2.75%×0.2) o Portfolio total active risk = 1.6% =[(0%2×0.452) + (6.05%2×0.152) + (4.68%2×0.22) + (5.5%2×0.22)]1/2 I think the yield beta thread will continue till the exam day 
Been up there for awhile…unfortunately no clarification on the yield beta issue.
mwvt9 Wrote: ------------------------------------------------------- > nothing on yield beta question. After re-done the problem, I came to the conclusion as other have said before that the “yield beta” has more to do with hedging BUT not for duration mamagement. Please read page 106-112, v4 to see the light. I am happy now that I understand why, I think. But again, they should never put it there because this is more than confusing.
thanks cpk123 hope your studying goes well
tibwa Wrote: ------------------------------------------------------- > mwvt9 Wrote: > -------------------------------------------------- > ----- > > nothing on yield beta question. > > > > After re-done the problem, I came to the > conclusion as other have said before that the > “yield beta” has more to do with hedging BUT not > for duration mamagement. Please read page > 106-112, v4 to see the light. I am happy now that > I understand why, I think. But again, they should > never put it there because this is more than > confusing. tibwa, can you advise what you have found on page 106-112, v4 ? I am still confused even after my review of these materials. It seems that there are some inconsistencies with Reading 42. I think CFAI shall integrate therse materials in more systematic and consistent way !
AMC Wrote: ------------------------------------------------------- > tibwa Wrote: > -------------------------------------------------- > ----- > > mwvt9 Wrote: > > > -------------------------------------------------- > > > ----- > > > nothing on yield beta question. > > > > > > > > After re-done the problem, I came to the > > conclusion as other have said before that the > > “yield beta” has more to do with hedging BUT > not > > for duration mamagement. Please read page > > 106-112, v4 to see the light. I am happy now > that > > I understand why, I think. But again, they > should > > never put it there because this is more than > > confusing. > > > tibwa, can you advise what you have found on page > 106-112, v4 ? I am still confused even after my > review of these materials. It seems that there are > some inconsistencies with Reading 42. I think CFAI > shall integrate therse materials in more > systematic and consistent way ! I understand your point and I had for quiet sometime. I think I trying to get by. Anyway, Starting on page 110 last paragraph, you will see when two problem with hedging NOT managing duration. Now move to page 112, you see the other problem an hedger face. To fix this problem and hdger run a regression and the beta of this regression ( yield beta) solve your problem. Viola! The yield beta is the expected relative of the two bonds. So my point is that there is a different between someone who wants to manage the duration of the Bond portfolio and someone who want to completely hedge his exposure. Therefore, the problem that arrive with hedging is solve the the yeild beta. p
> > > After re-done the problem, I came to the > conclusion as other have said before that the > “yield beta” has more to do with hedging BUT not > for duration mamagement. Please read page > 106-112, v4 to see the light. I am happy now that > I understand why, I think. But again, they should > never put it there because this is more than > confusing. I really dont see how hedging and duration management are any different in this context. Duration management is like an imcomplete hedge.
Robert0s Wrote: ------------------------------------------------------- > > > > > > After re-done the problem, I came to the > > conclusion as other have said before that the > > “yield beta” has more to do with hedging BUT > not > > for duration mamagement. Please read page > > 106-112, v4 to see the light. I am happy now > that > > I understand why, I think. But again, they > should > > never put it there because this is more than > > confusing. > > > I really dont see how hedging and duration > management are any different in this context. > > Duration management is like an imcomplete hedge. Only if decreasing duration right? Since portfolio duration is the weighted duration of all the components pieces why would we care about yield beta if we are adjusting duration upwards (non hedge)?
Good point. Ignore my previous post!