NO.PZ2023032703000093
问题如下：
Leonard Jennevin serves as a portfolio
manager at Riviera Partners, a boutique investment firm. Jennevin is in charge
of actively managing fixed-income portfolios, which consist primarily of
investment-grade corporate bonds.
Over the past 12 months, the yield curve has been stable, concave, and
upward sloping. The portfolio’s benchmark is a broad index with a duration of
eight years. However, according to the investment mandate, Jennevin is not
obligated to match the index’s duration. Jennevin outlines three potential
approaches to constructing a client’s fixed-income portfolio: a barbell, a
bullet, and a laddered portfolio. Jennevin assumes that both the barbell and
bullet portfolios have the same duration. When determining the most suitable
bond portfolio for a new client, he takes into account three potential
scenarios regarding changes in the yield curve over the coming year:
l Scenario 1: instantaneous upward parallel
shift of 100 basis points
l Scenario 2: no change in the shape of the
yield curve
l Scenario 3: instantaneous “negative
butterfly” twist
Under Scenario 2, which of the following portfolio construction strategies is most appropriate?
选项：
A.Selling convexity
B.Buying convexity
Decreasing the portfolio’s duration
解释：
Correct Answer: A
If the curve is expected to remain stable, selling convexity (for example, by buying callable bonds and mortgage-backed securities) in order to obtain higher yield can be beneficial.
Answer B is incorrect as gaining additional convexity will not be beneficial in case of a stable curve. Answer C is incorrect as decreasing the portfolio’s duration (which will be associated with purchasing lower-yield bonds) would be beneficial in case of expected interest rate increases.
我还是很晕，为什么就选了sell convexity