CFA CFA Level 3 Altering Allocation with future confusion

Altering Allocation with future confusion

  • This topic has 2 replies, 2 voices, and was last updated Oct-17 by RaviVooda.
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    • vincentt
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      CFAI 2014 PM – Watanbe

      Question 1 asked for the number of Nikko Bond Performance Index futures that must be sold to rebalance the Tsushima pension fund to its target allocation.

      The solution:


      @alta12
      @RaviVooda

      What I don’t get is why are we using the 0.25 cash duration? I thought we should be using 0 as the target duration since we are removing 5.5billion exposure?

    • vincentt
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      Apologies guys, I think i got this, as the example in the book was having cash duration of 0.

      So in SS10 cash duration is assumed to be 0?
      However, in SS15 cash duration will be given?

    • RaviVooda
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      @vincentt when cash duration is not zero they are explicitly mentioning

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