Portfolio Management interview preparation

Questions

100

Traced to a firm

40

Firms

24

Updated

September 2026

Asked at

All firmsBLBlackRock4Vanguard4WMWellington Management4Amundi3ACAQR Capital Management3Neuberger Berman3SCSchroders3Man Group2MSCI2Northern Trust2AllianceBernstein1Apollo Global Management1Blackstone1BMBNY Mellon1Carlyle Group1Fidelity Investments1Goldman Sachs1Invesco1Millennium Management1MSMorgan Stanley1NUNuveen1PIMCO1SSState Street1TPTPG1

Topic

All topicsPortfolio theory5Factor models8Asset allocation11Rebalancing3Portfolio construction7Benchmarks and tracking error5Performance measurement8Risk management6Fixed income and LDI5Currency and global3Implementation and costs5Active versus passive6India markets7Brainteasers5Career and fit16

Level

AnyCoreIntermediateHard

Type

AnyTechnicalCaseMarket viewFitBrainteaser

1. 054What is duration, and what is effective duration?Fixed income and LDIIntermediatetechnicalAmundiRates · London · 2018

   Say this

   Macaulay duration is the weighted average time to receive the cash flows. Modified duration converts that into a price sensitivity, roughly the percentage price change for a 1 percent yield move. Effective duration is the empirical version for bonds whose cash flows change with rates, so it is the only one that works for callables, mortgages and anything with an option.

   Then walk it

   1. Modified duration equals Macaulay divided by one plus the yield per period. A modified duration of 7 means about a 7 percent price fall for a 100 basis point rise in yield, before convexity.
   2. Effective duration, sometimes called option-adjusted duration, is computed numerically: shift the whole yield curve up and down by a small amount, revalue the bond with its options repriced, and take the price difference over twice the shift.
   3. Why you need it: a callable bond's cash flows are not fixed. When yields fall, the issuer calls, so the bond does not rally as a straight bond would. Its effective duration shortens as yields fall, which is negative convexity.
   4. Mortgage-backed securities are the extreme case. Prepayments accelerate when rates fall and slow when rates rise, so effective duration extends exactly when you do not want it to. That extension risk is what made MBS books painful in 2022.
   5. Portfolio duration is the market-value weighted average of the components' durations, which is how you manage a book to a target. But a single duration number assumes a parallel shift, so I would hold key-rate durations alongside it to see curve exposure, because a barbell and a bullet with the same duration behave differently when the curve twists.
   6. The practical limitation: duration is a first-order local approximation. For a 25 basis point move it is fine, for 200 basis points you need the convexity term as well, and for anything with embedded optionality the full revaluation is the only honest answer.

   Where candidates lose it

   Defining duration as 'the time to maturity' or conflating Macaulay and modified. And if you are asked for effective duration specifically, the interviewer is testing whether you know that cash flows can change with rates. Mention callables or mortgages and negative convexity, or the answer is incomplete.

   Expect next

   • What is negative convexity and who has it?
   • Why is a single duration number not enough?
   • What is the duration of a floating rate note?

   Reported by candidates at Amundi (Rates, London, 2018). Source: Wall Street Oasis.

2. 060Why is the dollar so strong, and what does that do to a global portfolio?Currency and globalIntermediatetechnicalAmundiAsset Management · Milan · 2022

   Say this

   Three drivers, and you should name which one is dominant right now: a rate and growth differential in America's favour, safe-haven demand when risk appetite falls, and the dollar's structural role in funding and trade invoicing. The portfolio effect is that unhedged dollar assets flatter returns for a non-dollar investor and crush emerging market performance.

   Then walk it

   1. Driver one, real rate differentials. Capital flows to the higher real yield, so when the Fed is tighter than the ECB and the Bank of Japan, the dollar rises. Watch the two-year real yield gap as the cleanest single indicator.
   2. Driver two, the risk premium channel. The dollar is the reserve and funding currency, so in a stress event everyone needs dollars to service dollar liabilities and the currency rises exactly when risk assets fall. That is why it behaves as a hedge in a portfolio.
   3. Driver three, growth and terms of trade. Stronger relative US growth, plus energy independence during an energy shock, both support it. Europe in 2022 was importing expensive gas, which is a straightforward terms-of-trade hit to the euro.
   4. Portfolio effect one: for a euro or rupee-based investor, unhedged US equity returns get a currency tailwind, which flatters US allocations and disguises weak underlying performance. Strip the currency out before concluding that US equities beat everything.
   5. Portfolio effect two: a strong dollar is a tightening of global financial conditions. Emerging market sovereigns and corporates with dollar debt see their debt service rise in local terms, commodity importers suffer, and EM equity in dollar terms underperforms. So a dollar view is implicitly an EM allocation view.
   6. Then the mean-reversion caveat: purchasing power parity has almost no predictive power over one to three years but does over five to ten, so an extreme real effective exchange rate is a slow signal at best. I would treat it as a reason to hedge more of a new US allocation rather than as a trade in itself.

   Where candidates lose it

   Giving one reason, usually rate differentials, and no portfolio consequence. The question has two halves and the second is where the portfolio manager is being tested: the currency tailwind flattering US allocations, and dollar strength as a tightening of global conditions that hits emerging markets. Also know roughly where the dollar index and the rate differential are today.

   Expect next

   • So would you hedge your dollar exposure now?
   • What does dollar strength do to Indian equities and the rupee?
   • Does purchasing power parity help you at all?

   Reported by candidates at Amundi (Asset Management, Milan, 2022). Source: Wall Street Oasis.

Firm tags come from public, anonymous candidate reports on Wall Street Oasis: strong signal, not sworn testimony. Firms are named as the places a question was reported, not as partners of Fin Maverick. Answers are written for this page to show how to think out loud; they are not scripts to recite.