NO.PZ2023032703000091
问题如下：
Lee and Cook are researching investment opportunities in the US and Europe using yield curve strategies for the purpose of generating an excess return over a benchmark. They collect yield to maturity data points on government bonds in the US and Germany as shown in Exhibit 1.
Lee and Cook are interested in “riding the curve” over the next year
in either the US or Germany and buying convexity with the use of long and short
positions in calls and puts.
It is most likely correct to say a “riding the curve” strategy
选项：
A.cannot work in Germany.
B.is more suited for implementation in the US.
C.assumes the level of the yield curve will change.
解释：
Correct Answer: B
Riding the yield curve is a trading strategy that involves buying a longer-term bond and selling it before it matures so as to profit from the declining yield that occurs over the life of a bond. The strategy hinges on a reasonably static and upward-sloping yield curve. The US curve is steeper and more suited for the strategy.
如果是用斜率的话，明显Germany的斜率更高呀，就拿2年和3年的话，US是2.78%/2.5%，Germany是0.32%/0.15%，德国应该更适合做骑乘策略吧