CFAI 2014 PM - Watanbe
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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:
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@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?
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?
