NO.PZ2021120102000005
问题如下：
An active fixed-income manager holds a portfolio of commercial and residential mortgage-backed securities that tracks the Bloomberg Barclays US Mortgage-Backed Securities Index. Which of the following choices is the most relevant portfolio statistic for evaluating the first-order change in his portfolio’s value for a given change in benchmark yield?
选项：
A.
Effective
duration
B.
Macaulay duration
C.
Modified duration
解释：
A is correct.
Effective duration is a yield duration
statistic that measures interest rate risk using a parallel shift in the
benchmark yield curve (ΔCurve).
Effective duration measures interest rate risk for complex bonds whose future cash flows are uncertain because they are contingent on future interest rates. Both Macaulay duration (B) and modified duration (C) are relevant statistics only for option-free bonds.
备注：本题题干说明是投资MBS与CMBS（commercial and residential mortgage-backed securities）。由于MBS、CMBS的基础资产为房贷，而房贷存在提前偿还的“期权”，所以本题的投资组合可以理解为含权债券（类似Callable bond），因此应该使用Effective duration。
- **Macaulay Duration**: Measures the weighted average time until all cash flows from a bond are received. It is a measure of bond's price sensitivity to changes in its yield to maturity but does not directly account for interest rate changes.
- **Modified Duration**: Adjusts the Macaulay Duration to more accurately reflect the bond's price sensitivity to immediate, small changes in interest rates, assuming fixed cash flows. It measures the percentage change in price for a parallel shift in the yield curve.
- **Effective Duration**: Accounts for how a bond's cash flows may change when interest rates change, which is important for bonds with embedded options like mortgage-backed securities. It measures the bond's price sensitivity to non-parallel shifting of the yield curve, making it more appropriate for bonds with optionality.
