问题如下:
Based on Edgarton’s expectation for the yield curve over the next 12 months, the Fund’s return relative to the benchmark would most likely increase by:
选项:
A.riding the yield curve.
B.implementing a barbell structure.
C.shortening the portfolio duration relative to the benchmark.
解释:
C is correct.
If interest rates rise and the yield curve steepens as Edgarton expects, then shortening the Fund’s duration from a neutral position to one that is shorter than the benchmark will improve the portfolio’s return relative to the benchmark. This duration management strategy will avoid losses from long-term interest rate increases.
short a barbell不是收益更大吗?