A debt fund's NAV

A debt fund holds 40% in bond A (modified duration 1.8, convexity 4.5) and 60% in bond B (modified duration 6.5, convexity 55). Its portfolio YTM is 7.0% and its TER 0.45%. (a) Compute the portfolio's modified duration and convexity. (b) Compute the NAV change for a parallel yield move of +75 bp and of −75 bp. Why are they not equal in size? (c) Compute the approximate one-year return if yields rise 75 bp at the start of the year and then stay put. (d) Compute the yield rise that wipes out a year's carry. (e) An investor needs the money in 18 months. What Macaulay duration would you look for, and why?