利率稳定但credit spread wider

问题如下：

Maura Caporale and Joe Nucor work for an active fixed income manager, Eagle Investments. Caporale manages the firm’s US Treasury bond portfolios, and Nucor focuses on credit mandates. To generate ideas for excess returns, they meet with Phillip Yeti, Eagle’s chief strategist, to discuss his outlook for the US economy in the coming year. Yeti explains that he expects the recent economic recovery will reverse with weakening consumer spending. He believes that the US yield curve and interest rates should remain stable but credit spreads could become considerably wider.

Given Yeti’s interest rate view over the next year, what strategy is least likely to result in generating excess returns?

选项：

A.

Adding leverage to a portfolio

B.

Increasing a portfolio’s duration to an overweight vs. the benchmark

C.

Reducing a portfolio’s duration to an underweight vs. the benchmark

解释：

Correct Answer: C

Reducing a portfolio’s duration to an underweight position vs. the benchmark is least likely to result in generating excess returns based on Yeti’s view that the yield curve and interest rates should remain stable.

The two basic ways in which a manager may actively position a bond portfolio vs. a benchmark index to generate excess return from a static or stable yield curve are to increase risk by adding duration and by adding leverage to the portfolio.