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  • Beginning Q1 Q1 Offer Difference Proposed Weight Duration YTM Proposed Weight

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    kren24
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    The document presents two proposed bond portfolios (Q1 and Q2) with different bond durations and yields to maturity. Q1 proposes allocating 15% of the portfolio to 1-year bonds, 5% each to 2, 3, 4, and 5-year bonds, 15% each to 7 and 10-year bonds, and 15% each to 20 and 25-year bonds. Q2 proposes the same bond allocations and durations but with a 0% allocation to cash. Both portfolios aim to achieve a targeted duration and yield.

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    Execrise.xlsx

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    The document presents two proposed bond portfolios (Q1 and Q2) with different bond durations and yields to maturity. Q1 proposes allocating 15% of the portfolio to 1-year bonds, 5% each to 2, 3, 4, and 5-year bonds, 15% each to 7 and 10-year bonds, and 15% each to 20 and 25-year bonds. Q2 proposes the same bond allocations and durations but with a 0% allocation to cash. Both portfolios aim to achieve a targeted duration and yield.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    Download as xlsx, pdf, or txt
    25 views2 pages

    Beginning Q1 Q1 Offer Difference Proposed Weight Duration YTM Proposed Weight

    Uploaded by

    kren24
    The document presents two proposed bond portfolios (Q1 and Q2) with different bond durations and yields to maturity. Q1 proposes allocating 15% of the portfolio to 1-year bonds, 5% each to 2, 3, 4, and 5-year bonds, 15% each to 7 and 10-year bonds, and 15% each to 20 and 25-year bonds. Q2 proposes the same bond allocations and durations but with a 0% allocation to cash. Both portfolios aim to achieve a targeted duration and yield.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 2

    Beginning Q1 Q1

    Offer Difference Proposed Weight Duration YTM Proposed Weight


    1Y 8.35% Cash 2% 0 0.50% Cash 15%
    2Y 9.05% 0.70% 1Y 3% 0.87 8.36% 1Y 5%
    3Y 9.25% 0.20% 2Y 5% 1.76 9.09% 2Y 5%
    4Y 9.35% 0.10% 3Y 5% 2.37 9.21% 3Y 5%
    5Y 9.55% 0.20% 4Y 5% 3.18 9.35% 4Y 5%
    7Y 9.80% 0.25% 5Y 10% 3.8 9.57% 5Y 10%
    10Y 10.15% 0.35% 7Y 15% 4.42 9.85% 7Y 15%
    20Y 11.55% 1.40% 10Y 25% 5.51 10.19% 10Y 15%
    25Y 11.90% 0.35% 20Y 20% 7.59 11.57% 20Y 15%
    25Y 10% 7.69 11.90% 25Y 10%
    100% 5.0991 10.13% 100%

    13.00%

    12.00%

    11.00%

    10.00%

    9.00%

    8.00%

    7.00%

    6.00%
    1Y 2Y 3Y 4Y 5Y 7Y 10Y 20Y 25Y
    Q2
    Duration YTM Proposed Weight Duration YTM
    0 0.50% Cash 0 0.50%
    0.87 8.36% 1Y 0.87 8.36%
    1.76 9.09% 2Y 1.76 9.09%
    2.37 9.21% 3Y 2.37 9.21%
    3.18 9.35% 4Y 3.18 9.35%
    3.8 9.57% 5Y 3.8 9.57%
    4.42 9.85% 7Y 4.42 9.85%
    5.51 10.19% 10Y 5.51 10.19%
    7.59 11.57% 20Y 7.59 11.57%
    7.69 11.90% 25Y 7.69 11.90%
    4.186 8.76% 0% 0 0.00%

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