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.
老师，选项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). 请问是因为经济开始slowdown,所以flight to quality,investor开始大量买入longterm treasury bond所以long term yield 大幅下降，基于这个原因判断现在经济下行所以投high-yield bond return下降吗。
