Duration and Yield Curve

BFP · May 10th, 2011, 1:24 pm

I have a question: If my portfolio is short duration and i do a test on this portfolio by shifting all yield curves up by 1bp, i should make money or lose money?Many thanksBFP

Martinghoul · May 10th, 2011, 1:25 pm

What do you yourself think is the answer to this question?

BFP · May 10th, 2011, 1:26 pm

I think i should be making money, but the analysts tell me i would lose money which im confused about

Martinghoul · May 10th, 2011, 1:33 pm

I would definitely agree with you, but I guess this is one of those "non-universal" conventions. To me "short" would always mean that you make money on a selloff, i.e. when yields rise.

BFP · May 10th, 2011, 1:38 pm

Thanks...just wanted to make sure i wasnt going crazy