I have encountered this exercise in CFA official book Fixed Income II p120 Example 32
My question is why does “iTraxx-Xover carries a weight equal to one-half of the US corporate bond portfolio”?
The questions said that “iTraxx-Xover position that matches that of the US high-yield bond allocation”, so I thought that I should match their money duration.
US high-yield bond money duration = 1 * (5.5+6+4.5+4)/4 = ? * 4.25 iTraxx-Xover position
Shouldn’t the position of iTraxx-Xover 1.18x of US high-yield bond position?