Yield Beta

CFA Level III
#1

When to use it, when not to use it? CFA Mock 2009: The problem states it, but does not use it.

#2

What is the Yield Beta in the problem? If 1 then do not have to use it…

#3

Two types of yield beta. First use when hedging a bond security that is unlike the CTD you are using to hedge with. Yield beta = Risk Factor Bond / Risk Factor CTD * Risk Factor CTD / Risk Factor Futures Contract Second when comparing duration along multiple countries. Formula is Duration Change in home country * Duration of Bond * Yield Beta.

#4

I think in mock they assume yield beta =1 that is erreta shoudl use it

#5

The yield beta was 1.12…

#6

Been addressed before, no one knows why it wasn’t used. My $0.02 - If I see a yield beta on the exam I’ll be using it.

#7

any errata for old mock exams?

#8

Paraguay, the second one you have mentioned is country beta and not yield beta.