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
Macaulay duration
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。
老师您好，我在做这道题的时候，不是从含权债券的角度来考虑的，而是我在credit strategies这个章节中，有个印象：
基于YTM的yield curve duration包含：macaulay duration, modified duration；
基于Benchmark rate的benchmark duration包含：effective duration。
题目说了是基于Benchmark rate的duration，所以我选了effective duration。
这两个解题思路的本质是一样的吗？
