NO.PZ201812020100000803
问题如下：
Based on Exhibit 1 and Abram’s interest rate expectations, which of the following strategies is expected to perform best over the next 12 months?
选项：
A.Strategy 1
B.Strategy 2
C.Strategy 3
解释：
B is correct.
In a stable yield curve environment, holding bonds with higher convexity negatively affects portfolio performance. These bonds have lower yields than bonds with lower convexity, all else being equal. The 5-year US Treasury has higher convexity than the negative convexity 30-year MBS bond. So, by selling the 5-year Treasury and purchasing the 30-year MBS, Abram will reduce the portfolio’s convexity and enhance its yield without violating the duration mandate versus the benchmark.
为啥如果这样的话，Sell the 5-year bonds, and use the proceeds to buy 30-year MBS with an effective duration of 4.75.，久期就不变了？一般来说，MBS的久期是多大？
