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这道题可以这么理解吗

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NO.PZ202112010200000803

问题如下：

Which of the following statements best describes how the expected total return results would change if THB yields were to rise significantly over the investment horizon?

选项：

Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns would increase due to higher THB yields.

Both the Buy-and-Hold and Yield Curve Rolldown expected portfolio returns would decrease due to higher THB yields.

The Buy-and-Hold expected portfolio returns would be unchanged and the Yield Curve Rolldown expected portfolio returns would decrease due to the rise in yields.

解释：

C is correct.

In a higher THB yield scenario in one year, the Yield Curve Rolldown expected return would fall since a higher THB yield-to-maturity in one year would reduce the price at which the investor could sell the 1-year zero in one year.

The Buy-and-Hold portfolio return will be unaffected since the 1-year bond matures at the end of the investment horizon.

THB yields were to rise significantly over the investment horizon，说明的是过了1年后的情况，这个时候整体的Yield Curve就不是向上倾斜的而是类似短期利率上升，变得Flattening了？

理解成整体利率曲线上升即可。还没办法判断是变的更加steepening还是flattening。做这道题也不需要知道利率曲线的形态如何变，只需知道利率发生了改变即可。

题目的背景是，原本他构建了2个策略，buy-and-hold与riding the yield curve策略。注意这2个策略属于stable yield curve下的策略，如果策略要正常赚到收益的话，那么未来的投资期、未来1年，利率曲线应该是stable的。

但是，这道题问，假设在未来1年的投资期里，利率发生大幅发生上升，问策略收益如何。其实就是现在利率曲线发生了改变，打破了stable的条件。然后考查2个stable yield curve的策略在利率曲线unstable时对应的表现。

可以明确的是buy-and-hold不受影响，因为持有至到期，期末拿到的本金是固定的，且投资1年，不存在coupon的再投资，于是利率上升不影响收益。

但是riding the yield curve，期末利率上升，期末的债券卖出价格下降，会有capital loss。于是投资收益率下降。

这道题可以这么理解吗

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