C是什么？

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：

Strategy 1

Strategy 2

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.