NO.PZ202112010200000702
问题如下：
Which of the following statements best characterizes how the active portfolio is positioned for yield curve changes relative to the index portfolio?
选项：
A.The active portfolio is
positioned to benefit from a bear steepening of the yield curve versus the
benchmark portfolio.
The active portfolio is positioned to benefit from a positive butterfly movement in the shape of the yield curve versus the index.
The active portfolio is positioned to benefit from yield curve flattening versus the index.
解释：
B is correct. A positive butterfly indicates a decrease in the butterfly spread due to an expected rise in short- and long-term yields-to-maturity combined with a lower medium-term yield-to-maturity.
Since the active portfolio is short duration versus the index in the 2-year, 5-year, and 30-year maturities and long duration in the 10-year, it will generate excess return if the butterfly spread falls.
A选项说的是收益率曲线steepen，可以看成短期利率相对长期利率是下降的，那么只有短期KRD：active ＞benchmark；长期KRD：active＜benchmark时，才会outperform，所以A不正确。
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A选项说的是
bear steepening，也就是短期利率和长期利率都是上升的，只不过长期利率上升的更加快，
那么长期而言，KRD active需要小于benchmark，
短期而言，也应该KRD active小于benchmark，不是吗？
请老师详细解释一下
