NO.PZ2019103001000043
问题如下：
Sanober Hirji is a junior analyst with Northco Securities, which is based in Canada. The institutional clients of Northco are active investors in Canadian coupon-bearing government bonds. Client portfolios are benchmarked to a Canadian government bond index, which is a diverse maturity index portfolio. After reviewing the portfolio of a French institutional client, Hirji evaluates yield curve strategies for Canadian government bond portfolios under various interest rate scenarios. Hirji’s supervisor, Éliane Prégent, forecasts that Canadian long-term rates will rise and short-term rates will fall over the next 12 months.
Based on Prégent’s interest rate forecast over the next 12 months, the yield curve strategy that would most likely realize the highest profit is:
选项：
A. a carry trade.
B. a bullet structure
C. duration management by buying long-term Canadian bonds
解释：
B is correct.
A bullet performs well when the yield curve is expected to steepen. Since Prégent’s forecast is for long rates to rise and short rates to fall, this strategy will add value to the French client’s portfolio by insulating the portfolio against adverse moves at the long end of the curve. If short rates fall, the bullet portfolio gives up very little in profits given the small magnitude of price changes at the short end of the curve.
