Schweser Reading 41 Questions 11(ii)

CFA Level III
#1

From the question it states that ,

Kappa strategy is to immune against interest rate exposure anbd to yield postive contribution thorugh bond selection,

and from the data, interest rate management yield 36 bps abd bond selection 23bps,

my though is that the stated stragey should be consistent with both interat rate management and bond selection

why the answer say the stated stragey is only partially correct (interest rate exposure is wrong0?

#2

if it were immune - there would have been no alpha generated due to interest rate exposure. [Looking at it another way - the strategy now generated alpha - the interest rate could move in the other direction and cause a loss (negative alpha) as well].

#3

Thanks, overlooked the question if it were immune