Query: I got confused as in most question in fixed income where they ask to adjust duration, they usually do it via futures or swap which have BPV in place, but for cash was not clear how to take its BPV while maintaining all bonds weights.

As far as I understand, to increase the money duration of 233,000 to 244,000 we have to infuse cash into the portfolio. Since we can’t change the weights of the securities in the portfolio, the additional cash will be invested in the same proportion as the existing weights into each of the securities. Consequently, the money duration will increase because our market value would increase and each security’s weight will remain the same as before.

It simply means how much cash you require to purchase each constituents (to increase each by 3%) to rebalance the portfolio. So increasing each constituents by 3% will ensure that security weights are same. And the cash required to do so will be 3% of the market value of the securities. Note that you are not adding cash to the portfolio but using cash to buy the constituents so as to rebalance it to the initial target weights.

It simply means how much cash you require to purchase each constituents (to increase each by 3%) to rebalance the portfolio. So increasing each constituents by 3% will ensure that security weights are same. And the cash required to do so will be 3% of the market value of the securities. Note that you are not adding cash to the portfolio but using cash to buy the constituents so as to rebalance it to the initial target weights.

It simply means how much cash you require to purchase each constituents (to increase each by 3%) to rebalance the portfolio. So increasing each constituents by 3% will ensure that security weights are same. And the cash required to do so will be 3% of the market value of the securities. Note that you are not adding cash to the portfolio but using cash to buy the constituents so as to rebalance it to the initial target weights.

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Source : 2017 AM Session paper.

Query: I got confused as in most question in fixed income where they ask to adjust duration, they usually do it via futures or swap which have BPV in place, but for cash was not clear how to take its BPV while maintaining all bonds weights.

As far as I understand, to increase the money duration of 233,000 to 244,000 we have to infuse cash into the portfolio. Since we can’t change the weights of the securities in the portfolio, the additional cash will be invested in the same proportion as the existing weights into each of the securities. Consequently, the money duration will increase because our market value would increase and each security’s weight will remain the same as before.

I can be wrong, this is just my understanding.

Thanks for reading..

I also think the same.

It simply means how much cash you require to purchase each constituents (to increase each by 3%) to rebalance the portfolio. So increasing each constituents by 3% will ensure that security weights are same. And the cash required to do so will be 3% of the market value of the securities. Note that you are not adding cash to the portfolio but using cash to buy the constituents so as to rebalance it to the initial target weights.

It simply means how much cash you require to purchase each constituents (to increase each by 3%) to rebalance the portfolio. So increasing each constituents by 3% will ensure that security weights are same. And the cash required to do so will be 3% of the market value of the securities. Note that you are not adding cash to the portfolio but using cash to buy the constituents so as to rebalance it to the initial target weights.

It simply means how much cash you require to purchase each constituents (to increase each by 3%) to rebalance the portfolio. So increasing each constituents by 3% will ensure that security weights are same. And the cash required to do so will be 3% of the market value of the securities. Note that you are not adding cash to the portfolio but using cash to buy the constituents so as to rebalance it to the initial target weights.

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