不明白错在哪儿了

问题如下：

Tom Gayle, Moynahan’s superior, stops by Moynahan’s office. Moynahan shares his presentation with Gayle, who suggests that page 4 include a discussion about expected returns. They decide to outline an example of a recent bond trade where they bought a $100 par value bond at a premium. Moynahan presents a decomposition of the bond’s expected returns detailing various components and focuses on roll down return. He adds the following footnote: “The roll down return demonstrates how the price of a bond typically moves closer to par regardless of yield curve changes over the strategy horizon.”

Is the footnote Moynahan includes on page 4 most likely correct?

选项：

A.

Yes.

B.

No, with respect to bond prices.

C.

No, with respect to roll down return.

Solution

解释：

C is correct. The footnote Moynahan includes on page 4 is incorrect with respect to roll down return. The roll down return is equal to the bond’s percentage price change assuming an unchanged yield curve over the strategy horizon. The roll down return results from the bond “rolling down” the yield curve as the time to maturity decreases. As time passes, a bond’s price typically moves closer to par.

A is incorrect. Moynahan’s footnote regarding the yield curve is not accurate.

B is incorrect. Moynahan’s footnote with respect to bond prices is accurate.