NO.PZ2021120102000009
问题如下：
An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?
选项：
A.Bear flattening
bull flattening
Yield curve inversion
解释：
C is correct. A duration-neutral flattening trade involves a short 2-year bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines.
Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.
The bear steepening in A involves an unchanged 2-year yield-to-maturity
with a rise in the 10-year yield-to-maturity, causing a portfolio loss.
The bull flattening in B combines a constant 2-year yield-to-maturity with lower 10-year rates, resulting in a gain on the 10-year bond position and an unchanged 2-year bond position.
答案说 “A duration-neutral flattening trade involves a short 2-year bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero.”
为什么是short 2-year bond+long 10-year bond来实现duration neutral ？ 而不是反过来？
