NO.PZ2021120102000033
问题如下：
An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.
Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?
选项：
A.
Steepening of the benchmark yield volatility curve.
B.
Decreased likelihood of an economic slowdown.
C.
Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).
解释：
C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.
This relationship is captured in the difference between empirical and analytical duration measures.
收益率波动率曲线变陡峭，一方面可能的是短期收益率波动率下降（短期经济变好），另一方面也可能是长期收益率波动率上升（长期经济变差）。如果按照答案来看，我们这里考察的是短期？如何判断呢
