Q 34 Based on Seymour’s statement regarding international interest rates, as well as the data in Exhibit 3, the impact of a 100-basis-point decline in US interest rates on the model portfolio’s value is closest to: A 3.41%. B 4.02%. C 4.93%.
here what confuses me is that the company is based in London. It has two investments-one in US and other in Germany. I can calculate the Dport = 04*3.9+.6*6.6. but here they have taken yield beta for german portfolio d only. Aren’t both foreign portfolios? Country beta between US and Germany (.62) only affecting german duration here? why US D is not adjusted by the same country beta?
I have. The yield beta calculation is taken where the bond is a foreign bond. Here both are foreign bonds-that’s my q. I know the formulas and what yield beta is.
That is exactly my q- the base is in London so GBP is the domestic currency. So both US and Euro are foreign portfolios. So why the foreign beta is applied to euro?
