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Exam 23: Removing Interest Rate Risk

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Exam 1: The Process of Portfolio Management19 Questionsadd course
Exam 2: Valuation, Risk, Return, and Uncertainty70 Questionsadd course
Exam 3: Setting Portfolio Objectives39 Questionsadd course
Exam 4: Investment Policy27 Questionsadd course
Exam 5: The Mathematics of Diversification50 Questionsadd course
Exam 6: Why Diversification Is a Good Idea16 Questionsadd course
Exam 7: International Investment and Diversification23 Questionsadd course
Exam 8: The Capital Markets and Market Efficiency27 Questionsadd course
Exam 9: Picking the Equity Players28 Questionsadd course
Exam 10: Equity Valuation Tools15 Questionsadd course
Exam 11: Security Screening15 Questionsadd course
Exam 12: Bond Pricing and Selection80 Questionsadd course
Exam 13: The Role of Real Assets25 Questionsadd course
Exam 14: Alternative Assets12 Questionsadd course
Exam 15: Revision of the Equity Portfolio28 Questionsadd course
Exam 16: Revision of the Fixed-Income Portfolio33 Questionsadd course
Exam 17: Principles of Options and Option Pricing36 Questionsadd course
Exam 18: Option Overwriting41 Questionsadd course
Exam 19: Performance Evaluation25 Questionsadd course
Exam 20: Fiduciary Duties and Responsibilities16 Questionsadd course
Exam 21: Principles of the Futures Market19 Questionsadd course
Exam 22: Benching the Equity Players23 Questionsadd course
Exam 23: Removing Interest Rate Risk22 Questionsadd course
Exam 24: Integrating Derivative Assets and Portfolio Management12 Questionsadd course
Exam 25: Contemporary Issues in Portfolio Management11 Questionsadd course
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A $10,000 6-month T-bill sells for $9,800. What is its annualized yield to maturity?

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Question 21

Suppose you are managing a bond portfolio with a current market value of $4.6 million. The bonds in this portfolio are priced at an average price of 98% of par and the duration of the portfolio is 12.62 years. If the cheapest to deliver bond for a Treasury Bond futures contract has a duration of 13.22 years, is priced at 97.5% of par, and has a conversion factor of 0.8315, how many Treasury Bond futures contracts would represent a 100% hedge?

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