问一道题：NO.PZ2019103001000039

问题如下：

McLaughlin and Michaela Donaldson, a junior analyst at Delphi, are now discussing how to reposition the portfolio in light of McLaughlin’s expectations about interest rates over the next 12 months. She expects interest rate volatility to be high and the yield curve to experience an increase in the 2s/10s/30s butterfly spread, with the 30-year yield remaining unchanged. Selected yields on the Treasury yield curve, and McLaughlin’s expected changes in yields over the next 12 months, are presented in Exhibit 1.

Based on these interest rate expectations, McLaughlin asks Donaldson to recommend a portfolio strategy. Donaldson considers the following three options.

Bullet portfolio: Invest solely in 10-year Treasury government bonds

Barbell portfolio: Invest solely in 2-year and 30-year Treasury government bonds

Laddered portfolio: Invest equally in 2-year, 5-year, 10-year, and 30-year Treasury government bonds

Which of Donaldson’s statements is correct?

Using the yield curve forecast shown in Exhibit 1, which portfolio strategy should Donaldson recommend for the year ahead?

选项：

The bullet portfolio

The barbell portfolio

The laddered portfolio

解释：

B is correct.

McLaughlin expects the yield curve to experience an increase in the butterfly spread, with the 30-year yield remaining unchanged, which implies that the yield curve will increase its curvature, pinned at the 30-year yield, as shown in Exhibit 1. The barbell portfolio, consisting of 2-year and 30-year bonds, would be expected to perform best. Although the two-year rate is expected to increase, the effective duration of two-year bonds is quite small, resulting in minimal price impact. Similarly, the 30-year yield is expected to remain constant, resulting in minimal price impact as well. Relative to the barbell portfolio, the laddered portfolio has greater exposure to the expected increases in the 5-year and 10-year yields, and the bullet portfolio has greater exposure to the expected increase in the 10-year yield. Therefore, the barbell portfolio would be expected to perform best given McLaughlin’s interest rate expectations.