An active fixed-income manager holds a portfolio of commercial and residential mortgage-backed securities that tracks the Bloomberg
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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?
A. Effective duration
B. Macaulay duration
C. Modified duration
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C Modified duration Modified duration is the most relevant portfolio statistic for evaluating t...View the full answer
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