NO.PZ202112010200000702
问题如下：
Which of the following statements best characterizes how the active portfolio is positioned for yield curve changes relative to the index portfolio?
选项：
A.The active portfolio is
positioned to benefit from a bear steepening of the yield curve versus the
benchmark portfolio.
The active portfolio is positioned to benefit from a positive butterfly movement in the shape of the yield curve versus the index.
The active portfolio is positioned to benefit from yield curve flattening versus the index.
解释：
B is correct. A positive butterfly indicates a decrease in the butterfly spread due to an expected rise in short- and long-term yields-to-maturity combined with a lower medium-term yield-to-maturity.
Since the active portfolio is short duration versus the index in the 2-year, 5-year, and 30-year maturities and long duration in the 10-year, it will generate excess return if the butterfly spread falls.
老师请问，KRD和收益率曲线的关系是什么呢？Active Portfolio的KRD(2y, 5y, 30y) 小于Benchmark，就直接让(2y, 5y, 30y)收益率曲线上升就能outperform benchmark?
"我们的目的是让active portfolio outperform benchmark。先观察active portfolio与benchmark在KRD的差异，可以看到，对于短期（2y、5y）和长期（30y），active portfolio 的KRD＜benchmark；对于中期(10y），active portfolio 的KRD＞benchmark，那么就应该让长期与短期的收益率曲线上升，中期收益率曲线下降，才会使得active outperform benchmark"
