NO.PZ202209060200004304
问题如下：
Is the footnote Moynahan includes on page 4 most likely correct?
选项：
A.Yes.
B.No, with respect to bond prices.
C.No, with respect to roll down return.
解释：
SolutionC is correct. The footnote Moynahan includes on page 4 is incorrect with respect to roll down return. The roll down return is equal to the bond’s percentage price change assuming an unchanged yield curve over the strategy horizon. The roll down return results from the bond “rolling down” the yield curve as the time to maturity decreases. As time passes, a bond’s price typically moves closer to par.
A is incorrect. Moynahan’s footnote regarding the yield curve is not accurate.
B is incorrect. Moynahan’s footnote with respect to bond prices is accurate.
Tom Gayle, Moynahan's superior, stops by
Moynahan's office. Moynahan shares his
presentation with Gayle, who suggests that page 4
include a discussion about expected returns. They
decide to outline an example of a recent bond
trade where they bought a $100 par value bond at
a premium. Moynahan presents a decomposition
of the bond's expected returns detailing various
components and focuses on roll down return. He
adds the following footnote: "The roll down return
demonstrates how the price of a bond typically
moves closer to par regardless of yield curve
changes over the strategy horizon."
