Câu 23: CFA Level 3

Ellen Truxel is the principal at Truxel Investment Management. Her firm uses bonds for income enhancement as well as capital gains. She occasionally uses sector quality bets and yield curve positioning to exploit her beliefs on the relative changes in sector credit quality and the direction of interest rates. She has recently hired John Timberlake to assist her in preparing data for the analysis of bond portfolios. Timberlake is a recent graduate of an outstanding undergraduate program in finance. Truxel is considering investing in international bonds, as this is an arena she has previously ignored. During conversations, Truxel says it is her understanding that changes in international bond markets have made it easier to manage the duration of an international bond portfolio. Timberlake notes that the EuropeanMonetary Union has increased the availability of corporate bonds, making it easier to rotate across sectors. In the domestic arena, Truxel is considering constructing a portfolio that matches the index on quality, call, sector, and cash flow dimensions and tilts the portfolio duration small amounts to take advantage of predictions of yield curve shifts. She states that this would be referred to as enhanced indexing with minor mismatches. Timberlake tells her that the most important determinant of her performance relative to other bond managers will be her ability to perform credit analysis. Truxel then tells Timberlake that before they venture into new areas, she wants him to prepare an analysis of their current positions. Timberlake obliges and presents the following data on Truxel's current portfolio. If the OAS for all bond sectors changes by 60 basis points while Treasury yields remain unchanged, the approximate percent change in the Truxel portfolio is closest to:

1. A. 3.2. — đáp án hiện tại
2. B. 3.4.
3. C. 5.3.