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.
B.
Decreased likelihood of an economic slowdown.
C.
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.
题目中问的是high yield bond和investment grade bond的比较。注意他并没有需要区分长短期，所以我做题的时候看到C选项说bullish直接就默认经济发展更好的，不理解什么需要具体看bullish flatten 长短期的差别。
另外，我觉得A是对的呀？
Volatility 增加表示整体risk增加，在这样的市场条件下投资者会更喜欢investment grade 来应对危机，也就是reduce attractiveness of high yield bond.
不是太理解我的这些思维问题出现在哪里，谢谢。
