NO.PZ2021120102000033
问题如下：
An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.
Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?
选项：
A.Steepening of the benchmark yield volatility curve.
Decreased likelihood of an economic slowdown.
Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).
解释：
C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.
This relationship is captured in the difference between empirical and analytical duration measures.
读到C选项后面那句with bullish benchmark yield curve flattening，感觉是market复苏向好的，但是前面又说是flight to quality
有可能同时存在市场恐慌+复苏向好吗？不不知道后半句怎么影响HYB 和IGB的相对价值
