You have a fixed income portfolio worth $1,000,000. The yield curve is flat at 4.5% per year. Suddenly, interest rates increase, with the yield curve shifting up by 0.5% (i.e., from 4.5% to 5.0%). Your portfolio's value drops by $20,000 as a result. What must have been the duration of your fixed income portfolio before this change in interest rates?

MC answer options are below:

5.92 years

4.18 years

4.54 years

3.87 years

5.23 years

Answer rating: 100% (QA)

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