Avg bond price(today)

问题如下：

A US-based fixed-income portfolio manager is examining unhedged investments in Thai baht (THB) zero-coupon government bonds issued in Thailand and is considering two investment strategies:

Buy-and-hold: Purchase a 1-year, THB zero-coupon bond with a current yield-to-maturity of 1.00%.

Roll down the THB yield curve: Purchase a 2-year zero-coupon note with a current yield-to-maturity of 2.00% and sell it in a year.

THB proceeds under each strategy will be converted into USD at the end of the 1-year investment horizon. The manager expects a stable THB yield curve and that THB will appreciate by 1.5% relative to USD. The following information is used to analyze these two investment strategies:

(2) 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：

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.