Consider a $50 million Treasury portfolio equally weighted between 2-, 5-, and 10-year Treasuries using parameters from
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Consider a $50 million Treasury portfolio equally weighted between 2-, 5-, and 10-year Treasuries using parameters from the prior example as the index, and an active portfolio with 20% each in 2- and 5-year Treasuries and the remaining 60% invested in 10-year Treasuries. Which of the following is closest to the active versus index portfolio value change due to a 40 bp rise in yields-to-maturity?
a. Active portfolio declines by $181,197 more than the index portfolio
b. Active portfolio declines by $289,915 more than the index portfolio
c. Index portfolio declines by $289,915 more than the active portfolio
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