Answer Happy

Portfolio N
Bond Duration
4
6
Bond Weight
50%
50%
Portfolio W
Bond Duration
2
8
Bond Weight
50%
50%
The portfolio develops four different scenarios for a yield
curve change:
Yield Change
2 Duration
4 Duration
6 Duration
8 Duration
Scenario 1
+0 bps
+10 bps
+15 bps
+25 bps
Scenario 2
+50 bps
+30 bps
+20 bps
–5 bps
Scenario 3
+15 bps
+15 bps
+15 bps
+15 bps
Scenario 4
–25 bps
–15 bps
–10 bps
0 bps
Using Excel, estimate the change in value for each
portfolio (N or W) for each of the scenario and determine which
portfolio is most likely to outperform in each
scenario.