NO.PZ2023032703000092
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.
我不理解，经济变差，spread 变大，不是应该要降低duration 吗？如果least 的话，不是不该选C吗？