NO.PZ202112010200000803
问题如下：
Which of the following statements best describes how the expected total return results would change if THB yields were to rise significantly over the investment horizon?
选项：
A.Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns
would increase due to higher THB yields.
Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns would decrease due to higher THB yields.
The Buy-and-Hold expected portfolio returns would be unchanged and the Yield Curve Rolldown expected portfolio returns would decrease due to the rise in yields.
解释：
C is correct.
In a higher THB yield
scenario in one year, the Yield Curve Rolldown
expected return would fall since a higher THB yield-to-maturity in
one year would reduce
the price at which the investor could sell the 1-year zero in one year.
The Buy-and-Hold portfolio return will be unaffected since the 1-year bond matures at the end of the investment horizon.
如果按照FI收益率五分解模型公式看呢？收益率曲线变了，Buy and hold的rolldown return、benchmark yield return都变了，为什么最后total return不变呢？
