An example with this question in the 2015’s AM exam:
Is it necessary to write an explanation on effective duration, convexity, key rate duration like in the guide answer?
Is it the following answer good enough?
Scenario 1: No violation. Optima and its benchmark: same price sensitivity to a small parallel shift in the yield curve because of matching effective duration.
Scenario 2: No violation. Optima and its benchmark: different price sensitivity to a non-parallel shift in the yield curve but key rate duration is not required to match.