Reading 35: ptf performance : duration-based yield curve decomposition attribution

CFA Level III Portfolio Management
#1

in the CFAI book 6, reading 35, page 192 about the example of a duration-based yield curve decomposition attribution:

  • Shift: The portfolio overall duration of 8.17 is greater than the benchmark duration of 7.19 (from exhibit 4), which, given the increase in yield of +1% , reduced the portfolio return by 89 bps.

I understand that 89 bps ~ - (difference in overall duration between the ptf and the benchmark) x change in yield

I could not find any mention of the increase of yield by +1% in the text.

Could anyone share an explanation?

Thanks!

#2

I also don’t see it.

I suggest that you contact CFA Institute and ask them for an explanation.

#3

will do, thanks!

#4

My pleasure.

Please let us know what they say.

#5

Here is the reply from the Curriculum team:

"

Curriculum and Learning Experience CFA Institute 9:07 AM (21 minutes ago) Dear candidate,

Thank you for your inquiry. You are correct that there is no statement made about ‘the increase in yield of +1%’ anywhere in the example. We have deleted this phrase from the sentence as the Yield Curve Decomposition in Exhibit 6 is sufficient on its own to support the statement made in the Shift bullet point. We hope this answers your inquiry and we thank you for bringing this inconsistency to our attention.

Best,

Curriculum team"

#6

This +1% in yield curve is also mentioned in residual bullet point just above the BB 5.

So we ignore that too?

#7

which page?

#8

same page 193

#9

I would assume so. However, you may want to wait for the updated errata from CFAI.